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nowcasting (version 1.1.4)

Predicting Economic Variables using Dynamic Factor Models

Description

It contains the tools to implement dynamic factor models to forecast economic variables. The user will be able to construct pseudo real time vintages, use information criteria for determining the number of factors and shocks, estimate the model, and visualize results among other things.

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Install

install.packages('nowcasting')

Monthly Downloads

36

Version

1.1.4

License

GPL-3

Issues

9

Pull Requests

0

Stars

102

Forks

40

Maintainer

Daiane Mattos

Last Published

August 1st, 2019

Functions in nowcasting (1.1.4)

ICfactors

Information criteria for determining the number of factors in a factors model
Bpanel

Balanced panel
BRGDP

Real Time Database of 100 economic variables from 12/11/2018
nowcast

Nowcasting of a quarterly time series using a dynamic factor model.
month2qtr

Monthly to quarterly transformation
USGDPshort

Example of replication files in Banbura et al. 2011
base_extraction

Create a real time data base
NYFED

Example of replication files in Giannone et al. 2008
nowcast.plot

Plot for the nowcast output function
nowcasting

Nowcast Analysis and Create Real-Time Data Basis
PRTDB

Pseudo Real Time Data Base
qtr2month

Quarterly to monthly transformation
ICshocks

Information criterion for determining the number of shocks in a factor model
RTDB

Create Real Time Data Base
USGDP

Example of replication files in Giannone et al. 2008