rescue_short_run_channel

Evaluates the short-run causal relationship from X to Y factors using Granger
causality tests and out-of-sample forecast comparison.

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

convergenceDFM

Convergence and Dynamic Factor Models

rescue_short_run_channel function

<dl><dt>results_robust</dt>
<dd>Output from run_complete_factor_analysis_robust()</dd>
<dt>lag</dt>
<dd>Number of lags for the model (default: 1)</dd>
<dt>B</dt>
<dd>Number of bootstrap iterations (default: 1000)</dd>
<dt>seed</dt>
<dd>Random seed for reproducibility (default: NULL)</dd>
<dt>ridge</dt>
<dd>Ridge regularization parameter (default: 0.001)</dd>
<dt>oos_start</dt>
<dd>Proportion of data to use for training (default: 0.6)</dd>
<dt>verbose</dt>
<dd>Logical; print progress and diagnostic information. Default <code>TRUE</code>.</dd></dl>

Arguments

Rescue short-run channel test — rescue_short_run_channel

<dl>

<dt>results_robust</dt>
<dd>Output from run_complete_factor_analysis_robust()</dd>


<dt>lag</dt>
<dd>Number of lags for the model (default: 1)</dd>


<dt>B</dt>
<dd>Number of bootstrap iterations (default: 1000)</dd>


<dt>seed</dt>
<dd>Random seed for reproducibility (default: NULL)</dd>


<dt>ridge</dt>
<dd>Ridge regularization parameter (default: 0.001)</dd>


<dt>oos_start</dt>
<dd>Proportion of data to use for training (default: 0.6)</dd>


<dt>verbose</dt>
<dd>Logical; print progress and diagnostic information. Default <code>TRUE</code>.</dd>

</dl>

rescue_short_run_channel: Rescue short-run channel test

Description

Usage

Value

Arguments

Details