apply_identifications

Applies identification constraints to factors and loadings.

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

apply_identifications function

<dl><dt>factors</dt>
<dd>A numeric matrix with the current estimate of all factors (T × total factors).</dd>
<dt>loadings</dt>
<dd>A numeric matrix with the current estimate of all factor loadings (total factors x N).</dd></dl>

Arguments

Apply Identification Constraints to Factors and Loadings — apply_identifications

<dl>

<dt>factors</dt>
<dd>A numeric matrix with the current estimate of all factors (T × total factors).</dd>


<dt>loadings</dt>
<dd>A numeric matrix with the current estimate of all factor loadings (total factors x N).</dd>

</dl>

apply_identifications: Apply Identification Constraints to Factors and Loadings

Description

Usage

Value

Arguments