pcatodfm

The <code>ts</code> used to extract the dynamic factors.

Degree of autoregressive polynomial

Estimates the first stage for dynamic factors on Giannone, Domenico, Lucrezia Reichlin, and David Small. "Nowcasting: The real-time informational content of macroeconomic data." Journal of Monetary Economics 55.4 (2008): 665-676.

Methods and tools for 'forecast' the current state (nowcast) of Brazilian economic time series. It allows extract information in real time, creating a real time data base; estimate relationship between macroeconomic variables via estimation of dynamic factors; forecast time series in previous periods of reference; forecast time series in the current period of reference (nowcasting); recreate a data base simulating the information available in the past for evaluating forecasting models accuracy. The econometric framework we follow is proposed in Giannone et al. (2008) <doi:10.1016/j.jmoneco.2008.05.010>.

Guilherme Branco Gomes

nowcasting

pcatodfm: Principal Components to Dynamic Factor Model

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