srlanalytics/bdfm: Bayesain and Maximum Likelihood Estimation of Factor Models

Estimates dynamic factors models. Bayesian estimation is by simulation while ML estimation follows Watson and Engle 1983.

Getting started

Package details

Maintainer
LicenseMIT + file LICENSE
Version0.0.2
Package repositoryView on GitHub
Installation Install the latest version of this package by entering the following in R:
install.packages("devtools")
library(devtools)
install_github("srlanalytics/bdfm")
srlanalytics/bdfm documentation built on March 21, 2019, 2:41 p.m.