plot.mldfm

Dispatches to specific plot functions for factors, loadings, or residuals.

Provides a comprehensive framework in R for modeling and forecasting economic scenarios based on multi-level dynamic factor model. The package enables users to: (i) extract global and group-specific factors using a flexible multi-level factor structure; (ii) compute asymptotically valid confidence regions for the estimated factors, accounting for uncertainty in the factor loadings; (iii) obtain estimates of the parameters of the factor-augmented quantile regressions together with their standard deviations; (iv) recover full predictive conditional densities from estimated quantiles; (v) obtain risk measures based on extreme quantiles of the conditional densities; (vi) estimate the conditional density and the corresponding extreme quantiles when the factors are stressed.

Gian Pietro Bellocca

FARS

Factor-Augmented Regression Scenarios

Ignacio Garrón

Vladimir Rodríguez-Caballero

Esther Ruiz

plot.mldfm function

<dl><dt>x</dt>
<dd>An object of class <code>mldfm</code>.</dd>
<dt>which</dt>
<dd>What to plot: one of <code>"factors"</code> (default), <code>"loadings"</code>, or <code>"residuals"</code>.</dd>
<dt>dates</dt>
<dd>Optional vector of dates (as <code>Date</code> or <code><a href="/link/zoo%3A%3Ayearqtr?package=FARS&version=0.7.1" data-mini-rdoc="FARS::zoo::yearqtr">zoo::yearqtr</a></code>) to use for the x-axis. If not provided, a simple index (1:N) is used.</dd>
<dt>var_names</dt>
<dd>Optional vector of variable names to label loadings and residual axis.</dd>
<dt>flip</dt>
<dd>Optional vector of length equal to the number of factors. Set 1 to flip sign for a specific factor (and related loadings); 0 to leave unchanged.</dd>
<dt>fpr</dt>
<dd>Logical. If <code>TRUE</code>, uses FPR Gamma (Fresoli, Poncela, Ruiz, 2024); otherwise, uses standard time-varying Gamma.</dd>
<dt>...</dt>
<dd>Additional arguments (ignored)</dd></dl>

Arguments

Plot Method for MLDFM object — plot.mldfm

<dl>

<dt>x</dt>
<dd>An object of class <code>mldfm</code>.</dd>


<dt>which</dt>
<dd>What to plot: one of <code>"factors"</code> (default), <code>"loadings"</code>, or <code>"residuals"</code>.</dd>


<dt>dates</dt>
<dd>Optional vector of dates (as <code>Date</code> or <code><a href='https://rdrr.io/pkg/zoo/man/yearqtr.html'>zoo::yearqtr</a></code>) to use for the x-axis. If not provided, a simple index (1:N) is used.</dd>


<dt>var_names</dt>
<dd>Optional vector of variable names to label loadings and residual axis.</dd>


<dt>flip</dt>
<dd>Optional vector of length equal to the number of factors. Set 1 to flip sign for a specific factor (and related loadings); 0 to leave unchanged.</dd>


<dt>fpr</dt>
<dd>Logical. If <code>TRUE</code>, uses FPR Gamma (Fresoli, Poncela, Ruiz, 2024); otherwise, uses standard time-varying Gamma.</dd>


<dt>...</dt>
<dd>Additional arguments (ignored)</dd>

</dl>

plot.mldfm: Plot Method for MLDFM object

Description

Usage

Value

Arguments