visualize_factor_dynamics

Creates a multi-panel visualization summarizing all aspects of the factor
model: scores over time, loadings, correlations, OU dynamics, and convergence
patterns.

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

visualize_factor_dynamics function

<dl><dt>dfm_result</dt>
<dd>Result object from DFM analysis</dd>
<dt>ou_result</dt>
<dd>Result object from OU estimation</dd>
<dt>factors_data</dt>
<dd>Data frame with factor information</dd>
<dt>save_plot</dt>
<dd>Logical, save plot to file (default: FALSE)</dd>
<dt>plot_file</dt>
<dd>File name for saved plot (default: 'factor_dynamics.pdf')</dd>
<dt>use_device</dt>
<dd>Graphics device to use: 'default', 'pdf', 'png' (default: 'default')</dd>
<dt>verbose</dt>
<dd>Logical; print progress and diagnostic information. Default <code>TRUE</code>.</dd></dl>

Arguments

Visualize factor dynamics comprehensively — visualize_factor_dynamics

<dl>

<dt>dfm_result</dt>
<dd>Result object from DFM analysis</dd>


<dt>ou_result</dt>
<dd>Result object from OU estimation</dd>


<dt>factors_data</dt>
<dd>Data frame with factor information</dd>


<dt>save_plot</dt>
<dd>Logical, save plot to file (default: FALSE)</dd>


<dt>plot_file</dt>
<dd>File name for saved plot (default: 'factor_dynamics.pdf')</dd>


<dt>use_device</dt>
<dd>Graphics device to use: 'default', 'pdf', 'png' (default: 'default')</dd>


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

</dl>

visualize_factor_dynamics: Visualize factor dynamics comprehensively

Description

Usage

Value

Arguments

Details