convergenceDFM

convergenceDFM-package

Tools to analyze economic convergence using Dynamic Factor Models (DFM) and
Factor Ornstein-Uhlenbeck (OU) processes. Includes data preparation, PLS-based
factor selection, DFM estimation with robust inference, OU estimation (Stan
or fallback), formal convergence tests, robustness checks, rotation/coupling
tests, and visualization utilities.

internal

Tests convergence in macro-financial panels combining
Dynamic Factor Models (DFM) and mean-reverting Ornstein-Uhlenbeck (OU)
processes. Provides: (i) static/approximate DFMs for large panels with
VAR/VECM stability checks, Portmanteau tests and rolling out-of-sample R^2,
following Stock and Watson (2002) <doi:10.1198/073500102317351921> and the
Generalized Dynamic Factor Model of Forni, Hallin, Lippi and Reichlin (2000)
<doi:10.1162/003465300559037>; (ii) cointegration analysis à la Johansen
(1988) <doi:10.1016/0165-1889(88)90041-3>; (iii) OU-based convergence and
half-life summaries grounded in Uhlenbeck and Ornstein (1930)
<doi:10.1103/PhysRev.36.823> and Vasicek (1977) <doi:10.1016/0304-405X(77)90016-2>;
(iv) robust inference via 'sandwich' HC/HAC estimators (Zeileis (2004)
<doi:10.18637/jss.v011.i10>) and regression diagnostics ('lmtest'); and
(v) optional PLS-based factor preselection (Mevik and Wehrens (2007)
<doi:10.18637/jss.v018.i02>). Functions emphasize reproducibility and clear,
publication-ready summaries.

José Mauricio Gómez Julián

Convergence and Dynamic Factor Models

convergenceDFM-package function

<ul>
<li><code>run_complete_factor_analysis_robust</code>: End-to-end pipeline.</li>
<li><code>estimate_DFM</code>: Estimate a VAR-based Dynamic Factor Model.</li>
<li><code>estimate_factor_OU</code>: Estimate Factor OU model (Stan or fallback).</li>
<li><code>run_convergence_robustness_tests</code>: Robustness test suite.</li>
<li><code>visualize_factor_dynamics</code>: Visualization helpers.</li>
</ul>

Main functions

Maintainer: José Mauricio Gómez Julián <a href="/link/isadorenabi%40pm.me?package=convergenceDFM&version=0.1.4" data-mini-rdoc="convergenceDFM::isadorenabi@pm.me">isadorenabi@pm.me</a>

Author

convergenceDFM: Dynamic Factor Models for Economic Convergence Analysis — convergenceDFM-package

<ul>
<li><code>run_complete_factor_analysis_robust</code>: End-to-end pipeline.</li>
<li><code>estimate_DFM</code>: Estimate a VAR-based Dynamic Factor Model.</li>
<li><code>estimate_factor_OU</code>: Estimate Factor OU model (Stan or fallback).</li>
<li><code>run_convergence_robustness_tests</code>: Robustness test suite.</li>
<li><code>visualize_factor_dynamics</code>: Visualization helpers.</li>
</ul>

Maintainer: José Mauricio Gómez Julián <a href='mailto:isadorenabi@pm.me'>isadorenabi@pm.me</a>

convergenceDFM-package: convergenceDFM: Dynamic Factor Models for Economic Convergence Analysis

Description

Arguments

Main functions

Author

See Also