plot_factors.mldfm

Displays time series plots of the estimated factors with 95% confidence bands.

internal

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_factors.mldfm function

<dl><dt>x</dt>
<dd>An object of class <code>mldfm</code>.</dd>
<dt>dates</dt>
<dd>Optional vector of dates. If NULL, uses 1:n as default.</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 Factors from mldfm Object — plot_factors.mldfm

<dl>

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


<dt>dates</dt>
<dd>Optional vector of dates. If NULL, uses 1:n as default.</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_factors.mldfm: Plot Factors from `mldfm` Object

Description

Usage

Arguments