Factor-Augmented Regression Scenarios
Apply Identification Constraints to Factors and Loadings
Efficient OLS Estimation
Build Factor Structure for Multi-level Dynamic Factor Model
Canonical Correlation Analysis for MLDFM
Coefficients for fars Object
Compute Skew-t Densities from Quantiles
Compute Factor Augmented Quantile Regressions
Compute Adaptive Threshold Cross-Sectional Robust Gamma (FPR Gamma)
Compute Initial Factors for Multi-Level Dynamic Factor Model
Compute Loadings
Compute Optimal Delta for FPR Gamma Computation
Compute Stressed Factors
Compute Subsample of Data by Block
Correct Dataset Outliers
Create Stressed Scenarios
Extract Estimated Factors from a mldfm Object
Generic Function to Extract Estimated Factors
Fitted Values for fars Object
Extract Fitted Values from a mldfm Object
Extract Distribution from a fars_density Object
Generic Function to Extract Distribution
Get Ellipsoids from a fars_scenario Object.
Generic Function to Extract Ellipsoids
Extract Factors at a Given Hierarchical Level
Extract List of MLDFMs from a mldfm_subsample Object
Generic Function to Extract List of MLDFMs
Extract a Specific mldfm Object from a mldfm_subsample Object
Generic Function to Extract a Specific mldfm Object
Extract Quantile Levels from a fars Object
Generic Function to Extract Quantile Levels
Extract a Specific rq Object from a fars Object
Generic Function to Extract a Specific rq Object
Generic Function to Get Sigma List
Compute Skew-t Densities from Quantiles (Linear Optimization)
Extract Factor Loadings from a mldfm Object
Generic Function to Extract Factor Loadings
Log-Likelihoods for fars Object
Subsampling Procedure for MLDFM Estimation
Multi-Level Dynamic Factor Model (MLDFM)
Multi-level Dynamic Factor Model - Multiple Blocks (MLDFM)
Compute Skew-t Densities from Quantiles (Non-Linear Optimization)
Orthogonalize Factors
Plot Factors from mldfm Object
Plot Loadings from mldfm Object
Plot Residuals from mldfm Object
Plot Method for fars_density Object
Plot Method for fars_scenario Object
Plot Method for fars Object
Plot Method for mldfm_subsample Object
Plot Method for MLDFM object
Predict Method for fars Object
Print Method for fars_density Object
Print Method for fars_scenario Object
Print Method for fars Object
Print Method for mldfm_subsample Object
Print Method for mldfm Object
Extract Conditional Quantile from fars_density Object
Residuals for fars Object
Extract Residuals from a mldfm Object
Multi-Level Dynamic Factor Model - Single Block (DFM)
Summary Method for fars_density Object
Summary Method for fars_scenario Object
Summary Method for fars Object
Summary Method for mldfm_subsample Object
Summary Method for mldfm Object
Update Factor List
Provides a comprehensive framework in R for modeling and forecasting economic scenarios based on multi-level dynamic factor model. The package enables users to: (i) extract global and group-specific factors using a flexible multi-level factor structure; (ii) compute asymptotically valid confidence regions for the estimated factors, accounting for uncertainty in the factor loadings; (iii) obtain estimates of the parameters of the factor-augmented quantile regressions together with their standard deviations; (iv) recover full predictive conditional densities from estimated quantiles; (v) obtain risk measures based on extreme quantiles of the conditional densities; (vi) estimate the conditional density and the corresponding extreme quantiles when the factors are stressed.