dfms

1.0.1

Dynamic Factor Models

0packages depend

8.4Kdownloads / year

76.7%test coverage

11/13checks pass

Overview

About

Maintained by Sebastian KrantzFirst published 2022-10-1211 releasesCRAN page ↗GitHub ↗

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.

Install

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

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

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

if (!requireNamespace("pak", quietly = TRUE))
  install.packages("pak", repos = "https://cloud.r-project.org/")
pak::pak("ropensci/dfms")

Development version from ropensci/dfms. Installs pak first if it is not already available.

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-dfms

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-dfms

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-dfms

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

Health

CRAN checks

2NOTE11OK

Failing flavors

NOTE r-devel-linux-x86_64-fedora-clang
NOTE r-devel-linux-x86_64-fedora-gcc

Slowest check: 4.2 min · r-oldrel-windows-x86_64

Code health

Yes

Tests · ratio 0.17

76.7%

Coverage · measured lines

100%

Documentation · exports

Dependencies · direct

Check history

NOTE2026-04-22
10 OK · 4 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE
ERROR2026-04-18
9 OK · 4 NOTE · 0 WARNING · 1 ERROR · 0 FAILURE
NOTE2026-03-10
10 OK · 4 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE

Documentation

READMEYes · 614 wordsVignettesYes · dynamicpkgdown siteNoNEWSYes · 100% structuredCode of conductNoContributing guideNo

Examples that run: 65%
Documented parameters: 92%
Return-value docs: 100%
References docs: 39%

Downloads

8.4K

CRAN downloads in the past year

Rank #4,891 · ~23/day · ~701/mo

Releases R versions

Daily download trend is not available in this view yet.

70530 days

1.9K90 days

8.4K1 year

Compare downloads with other packages →

Also on514 r2u28 autocran514 conda_forge59 c2d4u

Repository

GitHub ↗ ropensci/dfms

44Stars

10Forks

1Open issues

2Open PRs

11Releases

589Commits

2Contributors

dynamic-factor-modelsrstatstime-series

License GPL-3.0 · 589 commits · Last activity 2026-06-18 · 0% stars, 30d

Stars over time

2025-06-20 · 352026-07-07 · 44

Repository practices

Upstream repositoryBeta

5 development-tooling and community-health practices detected across 5 families in the upstream repository

Checks run against github.com/ropensci/dfms on 2026-07-19.

Continuous integration (1)

GitHub Actions

Research and citation (1)

codemeta.json

Lint, format, editor (1)

RStudio project

Coverage (1)

Codecov

Show all practices

Git structural (1)

.gitattributes

How this is detected·Detection ruleset v1 (2026-07-18)

Dependencies

Declared dependencies

13 external dependencies (excludes base and recommended)

Depends (1)

R >= 4.1.0

Imports (2)

Rcpp collapse

LinkingTo (2)

Rcpp RcppArmadillo

Suggests (9)

xts vars magrittr testthat knitr rmarkdown covr dlm KFAS

Enhances (0)

none

Dependency license breakdown →

Reverse dependencies

0direct

0indirect

Nothing depends on this yet.

Code & Tests

Code Composition

R 4,588 (61%)Rd 1,433 (19%)Vignettes 620 (8%)C++ 599 (8%)Other 298 (4%)C 15 (0%)

Code characteristics

Object systems

S325

Cyclomatic complexity: 2.0 median / 80 max
Test cases: 59 / 0.17 per code line

Test coverage

Line coverage

77%

Expression

75.7%

Tests / Examples

76.7% / 32% ex

Functions

86 17 exported

Complexity

6.2 avg / 80 max

Call network

86 nodes / 73 edges

Call graph

Open call graph →

Loading call graph…

Lowest coverage

86 functions

Function	Cyclo	Coverage
convert exp	1	0%
EMstepBMidio	6	0%
coef.dfm	1	0%
convert.dfm	4	0%
dfm_news_stationary_cov	1	0%
logLik.dfm	1	0%

Datasets

Bundled datasets · 1

Name	Class	Rows × Cols	Also ships in
BM14_Models	data.frame	101 × 8	–

People & History

People (5)

Maintainer (1)

Sebastian Krantz

Author, Maintainer

Authors (2)

Sebastian Krantz

Author, Maintainer

Rytis Bagdziunas

Author

Contributors (1)

Christian Klettner

Contributor · added in 1.0.1

Reviewers (2)

Eli Holmes

Reviewer · added in 0.3.0

Santtu Tikka

Reviewer · added in 0.3.0

Package Timeline

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

1.0.1Latest
2026-06-19 · current release · diff ↗
R
R 4.6.0 released · 2026-04-24
1.0.0
2026-01-26 · diff ↗
0.4.0
2026-01-18 · diff ↗
0.3.2
2025-09-24 · diff ↗
0.3.1
2025-08-20 · diff ↗
0.3.0
2025-05-18 · diff ↗
R
R 4.5.0 released · 2025-04-11
0.2.2
2024-06-09 · diff ↗
R
R 4.4.0 released · 2024-04-24
R
R 4.3.0 released · 2023-04-21
0.2.1
2023-04-03 · diff ↗
0.2.0
2023-03-31 · diff ↗
0.1.4
2023-01-12 · diff ↗
0.1.3
2022-10-12
R
R 4.2.0 released · 2022-04-22

Package metadata

First published: 2022-10-12
Total releases: 11 / 4 yrs
License: GPL-3 OSI
Minimum R: ≥ 4.1.0
Bundled data: 115 KB / 3 files
Download size: 2.1 MB
Installed size: not tracked yet
With dependencies: not tracked yet

Appears in task views

Time Series Analysis

Report a problem with this page →