convergenceDFM

0.3.2

Convergence and Dynamic Factor Models

0packages depend

1.7Kdownloads / year

36.8%test coverage

13/13checks pass

Overview

About

Maintained by José Mauricio Gómez JuliánFirst published 2025-12-012 releasesCRAN page ↗

Tests convergence in macro-financial panels combining Dynamic Factor Models (DFM) and mean-reverting, discrete-time Ornstein-Uhlenbeck/AR(1) factor processes. Provides: (i) static factor extraction with VAR stability checks, Portmanteau tests and rolling out-of-sample R^2, in the spirit of Stock and Watson (2002) doi:10.1198/073500102317351921 and the Generalized Dynamic Factor Model of Forni, Hallin, Lippi and Reichlin (2000) doi:10.1162/003465300559037; (ii) cointegration analysis a la Johansen (1988) doi:10.1016/0165-1889(88)90041-3; (iii) Bayesian factor-OU/AR(1) estimation with convergence and half-life summaries grounded in Uhlenbeck and Ornstein (1930) doi:10.1103/PhysRev.36.823 and Vasicek (1977) doi:10.1016/0304-405X(77)90016-2, with full Markov chain Monte Carlo convergence diagnostics; (iv) heteroskedasticity-consistent (HC) and, when the suggested 'sandwich' (Zeileis (2004) doi:10.18637/jss.v011.i10) and 'lmtest' packages are available, heteroskedasticity- and autocorrelation- consistent (HAC) robust inference, with a self-contained HC fallback; (v) coupling significance tests based on time-shift / block-bootstrap nulls that preserve marginal dynamics while breaking cross-series dependence; and (vi) optional PLS-based factor preselection (Mevik and Wehrens (2007) doi:10.18637/jss.v018.i02). Functions emphasize reproducibility (explicit seeds throughout) and clear, publication-ready summaries.

Install

R (CRAN)Ubuntu (r2u)Fedora (COPR)openSUSE (OBS)

install.packages("convergenceDFM", repos = "https://cloud.r-project.org/")

Installs the current CRAN release. Prebuilt binaries on Windows and macOS.

Release

# enable cranapt (r2u) if it is not already set up, then install
grep -rqs r2u.stat.illinois.edu /etc/apt/sources.list /etc/apt/sources.list.d/ \
  || curl -fsSL https://raw.githubusercontent.com/eddelbuettel/r2u/master/inst/scripts/add_cranapt_noble.sh | sudo bash
sudo apt install -y r-cran-convergencedfm

Fast Ubuntu binaries via r2u (no compilation). The cranapt setup runs once and is skipped when it is already enabled.

bspm (used by r2u) also needs make: sudo apt install make

# enable the iucar/cran COPR if it is not already present, then install
ls /etc/yum.repos.d/*iucar*cran*.repo >/dev/null 2>&1 \
  || sudo dnf copr enable -y iucar/cran
sudo dnf install -y R-CRAN-convergenceDFM

RPMs from the iucar/cran COPR, rebuilt from CRAN.

For install.packages() integration in R, also: sudo dnf install R-CoprManager

# add the autoCRAN OBS repo (Tumbleweed) if it is missing, then install
zypper -q lr | grep -qi autoCRAN \
  || sudo zypper addrepo https://download.opensuse.org/repositories/devel:/languages:/R:/autoCRAN/openSUSE_Tumbleweed/devel:languages:R:autoCRAN.repo
sudo zypper install -y R-convergenceDFM

RPMs auto-built from CRAN on openSUSE OBS (Tumbleweed).

Health

CRAN checks

13OK

Slowest check: 7.7 min · r-oldrel-windows-x86_64

Code health

Yes

Tests · ratio 0.09

36.8%

Coverage · measured lines

100%

Documentation · exports

Dependencies · direct

Check history

OK2026-06-09
13 OK · 0 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE
WARNING2026-06-08
12 OK · 0 NOTE · 1 WARNING · 0 ERROR · 0 FAILURE
OK2026-04-25
12 OK · 0 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE
NOTE2026-03-10
11 OK · 3 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE

Documentation

READMEYes · 397 wordsVignettesYes · dynamicpkgdown siteNoNEWSYes · 100% structuredCode of conductNoContributing guideNo

Examples that run: 44%
Documented parameters: 95%
Return-value docs: 100%
References docs: 4%

Downloads

1.7K

CRAN downloads in the past year

Rank #16,164 · ~5/day · ~138/mo

Releases R versions

Daily download trend is not available in this view yet.

30230 days

67490 days

1.7K1 year

Compare downloads with other packages →

Also on55 r2u28 autocran

Dependencies

Declared dependencies

18 external dependencies (excludes base and recommended)

Depends (1)

R >= 4.1

Imports (13)

statsmethodsparallelpls vars urca readxl dplyr tidyr stringr magrittr zoo BayesianDisaggregation (>= 0.2.1)

LinkingTo (0)

none

Suggests (8)

testthat knitr rmarkdown cmdstanr posterior rstan sandwich lmtest

Enhances (0)

none

Dependency license breakdown →

Reverse dependencies

0direct

0indirect

Nothing depends on this yet.

Code & Tests

People & History

People (1)

Maintainer (1)

José Mauricio Gómez Julián

Author, Maintainer

Authors (1)

José Mauricio Gómez Julián

Author, Maintainer

Package Timeline

2 releases. Pick two to compare their code metrics. R releases are shown for context.

0.3.2Latest
2026-06-26 · current release · diff ↗
R
R 4.6.0 released · 2026-04-24
0.1.4
2026-03-10
R
R 4.5.0 released · 2025-04-11

Package metadata

First published: 2025-12-01
Total releases: 2 / 1 yrs
License: GPL-3 OSI
Additional repositories: mc-stan.org
Minimum R: ≥ 4.1
Download size: 78 KB
Installed size: not tracked yet
With dependencies: not tracked yet

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