tsfa (version 2014.2-2)

tsfa-package: Time Series Factor Analysis (TSFA)

Description

TSFA extends standard factor analysis (FA) to time series data. Rotations methods can be applied as in FA. A dynamic model of the factors is not assumed, but could be estimated separately using the extracted factors.

Details

ll{ Package: tsfa Depends: R (>= 2.0.0), GPArotation, setRNG (>= 2004.4-1), tframe (>= 2006.1-1), dse (>= 2006.1-1), EvalEst (>= 2006.1-1) Suggests: CDNmoney License: GPL Version 2. URL: http://tsanalysis.r-forge.r-project.org/ }

The main functions are: DstandardizedLoadings Extract standardized loadings from an object loadings Extractloadings from an object estTSF.ML Estimate a time series factor model factors Extract time series factors from an object FAmodelFitStats Various fit statistics. simulate Simulate a time series factor model summary Summary methods for \pkg{tsfa} objects tfplot Plot methods for \pkg{tsfa} objects TSFmodel Construct a time series factor model

An overview of how to use the package is available in the vignette tsfa (source, pdf).

References

Gilbert, Paul D. and Meijer, Erik (2005) Time Series Factor Analaysis with an Application to Measuring Money. Research Report 05F10, University of Groningen, SOM Research School. Available from http://som.eldoc.ub.rug.nl/reports/themeF/2005/05F10/.

Gilbert, Paul D. and Meijer, Erik (2006) Money and Credit Factors. Bank of Canada Working Paper 2006-3, available at http://www.bankofcanada.ca/2006/03/publications/research/working-paper-2006-3/.

See Also

estTSF.ML, GPArotation, tframe, dse