Description
Efficient estimation of Dynamic Factor Models using the Expectation Maximization (EM) algorithm or Two-Step (2S) estimation, supporting datasets with missing data and mixed-frequency nowcasting applications. Factors follow a stationary VAR process of order p. Estimation options include: running the Kalman Filter and Smoother once with PCA initial values (2S) as in Doz, Giannone and Reichlin (2011) <doi:10.1016/j.jeconom.2011.02.012>; iterated Kalman Filtering and Smoothing until EM convergence as in Doz, Giannone and Reichlin (2012) <doi:10.1162/REST_a_00225>; or the adapted EM algorithm of Banbura and Modugno (2014) <doi:10.1002/jae.2306>, allowing arbitrary missing-data patterns and monthly-quarterly mixed-frequency datasets. The implementation uses the 'Armadillo' 'C++' library and the 'collapse' package for fast estimation. A comprehensive set of methods supports interpretation and visualization, forecasting, and decomposition of the 'news' content of macroeconomic data releases following Banbura and Modugno (2014). Information criteria to choose the number of factors are also provided, following Bai and Ng (2002) <doi:10.1111/1468-0262.00273>.
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| Flavor | Status |
|---|---|
| r-devel-linux-x86_64-debian-clang | OK |
| r-devel-linux-x86_64-debian-gcc | OK |
| r-devel-linux-x86_64-fedora-clang | NOTE |
| r-devel-linux-x86_64-fedora-gcc | NOTE |
| r-devel-macos-arm64 | OK |
| r-devel-windows-x86_64 | OK |
| r-oldrel-macos-arm64 | NOTE |
| r-oldrel-macos-x86_64 | NOTE |
| r-oldrel-windows-x86_64 | OK |
| r-patched-linux-x86_64 | OK |
| r-release-linux-x86_64 | OK |
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| r-release-macos-x86_64 | OK |
| r-release-windows-x86_64 | OK |
Check details (14 non-OK)
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dependencies in R code
Namespace in Imports field not imported from: ‘Rcpp’ All declared Imports should be used.
dependencies in R code
Namespace in Imports field not imported from: ‘Rcpp’ All declared Imports should be used.
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installed package size
installed size is 6.6Mb
sub-directories of 1Mb or more:
doc 2.3Mb
libs 3.8Mb
installed package size
installed size is 6.7Mb
sub-directories of 1Mb or more:
doc 2.3Mb
libs 3.9Mb
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NOTE 10 OK · 4 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE Mar 9, 2026
dependencies in R code
Namespace in Imports field not imported from: ‘Rcpp’ All declared Imports should be used.
dependencies in R code
Namespace in Imports field not imported from: ‘Rcpp’ All declared Imports should be used.
installed package size
installed size is 6.6Mb
sub-directories of 1Mb or more:
doc 2.3Mb
libs 3.8Mb
installed package size
installed size is 6.7Mb
sub-directories of 1Mb or more:
doc 2.3Mb
libs 3.9Mb