update_factor_list

Updates the list of factors at each hierarchical node by slicing from a matrix containing all final factors.

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

update_factor_list function

<dl><dt>factor_list</dt>
<dd>A named list of factors for each node in the hierarchy.</dd>
<dt>final_factors</dt>
<dd>A numeric matrix containing all factors (T × total number of factors).</dd>
<dt>r_list</dt>
<dd>A named list specifying the number of factors for each node (from <code>build_factor_structure</code>).</dd></dl>

Arguments

Update Factor List — update_factor_list

<dl>

<dt>factor_list</dt>
<dd>A named list of factors for each node in the hierarchy.</dd>


<dt>final_factors</dt>
<dd>A numeric matrix containing all factors (T × total number of factors).</dd>


<dt>r_list</dt>
<dd>A named list specifying the number of factors for each node (from <code>build_factor_structure</code>).</dd>

</dl>

update_factor_list: Update Factor List

Description

Usage

Value

Arguments