Dynamic factor model estimation for nowcasting

dfm | Estimates a dynamic factor model based on Doz, Gianone &... |

dfmMS | Dynamic factor model with Markov-switching states |

em_converged | Convergence test for EM-algorithm. |

Estep | Computation of the expectation step in the EM-algorithm. |

K_filter | Implements a Kalman for dynamic factor model. |

KimFilter | Implementation of Kim (1994) filter, an extension to Kalman... |

KimSmoother | Smoothing algorithm from Kim (1994) to be used following a... |

K_smoother | Implements Kalman smoothing and is used along with Kalman... |

NBBsurvey | National Bank of Belgium business and consumer surveys |

predict.dfm | Predict factors and observables based on an estimated dynamic... |

summary.dfm | Summary information on dynamic factor model estimation |

VAR | Estimate a p-th order vector autoregressive (VAR) model |

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