convergenceDFM: Convergence and Dynamic Factor Models
Tests convergence in macro-financial panels combining Dynamic Factor Models (DFM) and mean-reverting, discrete-time Ornstein-Uhlenbeck/AR(1) factor processes. Provides: (i) static factor extraction with VAR stability checks, Portmanteau tests and rolling out-of-sample R^2, in the spirit of 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 a la Johansen (1988) <doi:10.1016/0165-1889(88)90041-3>; (iii) Bayesian factor-OU/AR(1) estimation with 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>, with full Markov chain Monte Carlo convergence diagnostics; (iv) heteroskedasticity-consistent (HC) and, when the suggested 'sandwich' (Zeileis (2004) <doi:10.18637/jss.v011.i10>) and 'lmtest' packages are available, heteroskedasticity- and autocorrelation- consistent (HAC) robust inference, with a self-contained HC fallback; (v) coupling significance tests based on time-shift / block-bootstrap nulls that preserve marginal dynamics while breaking cross-series dependence; and (vi) optional PLS-based factor preselection (Mevik and Wehrens (2007) <doi:10.18637/jss.v018.i02>). Functions emphasize reproducibility (explicit seeds throughout) and clear, publication-ready summaries.
| Version: | 0.3.2 |
| Depends: | R (≥ 4.1) |
| Imports: | stats, methods, parallel, pls, vars, urca, readxl, dplyr, tidyr, stringr, magrittr, zoo, BayesianDisaggregation (≥ 0.2.1) |
| Suggests: | testthat (≥ 3.0.0), knitr, rmarkdown, cmdstanr, posterior, rstan, sandwich, lmtest |
| Published: | 2026-06-26 |
| DOI: | 10.32614/CRAN.package.convergenceDFM |
| Author: | José Mauricio Gómez Julián
 [aut, cre] |
| Maintainer: | José Mauricio Gómez Julián <isadore.nabi at pm.me> |
| License: | GPL-3 |
| NeedsCompilation: | no |
| Additional_repositories: | https://mc-stan.org/r-packages/ |
| Materials: | README, NEWS |
| CRAN checks: | convergenceDFM results |
Documentation:
| Reference manual: | convergenceDFM.html , convergenceDFM.pdf |
| Vignettes: |
Canonical disaggregation and the Leave-Cluster-Out test (source, R code) Introduction to Convergence Analysis with convergenceDFM (source, R code) |
Downloads:
| Package source: | convergenceDFM_0.3.2.tar.gz |
| Windows binaries: | r-devel: convergenceDFM_0.3.2.zip, r-release: convergenceDFM_0.3.2.zip, r-oldrel: convergenceDFM_0.3.2.zip |
| macOS binaries: | r-release (arm64): convergenceDFM_0.3.2.tgz, r-oldrel (arm64): convergenceDFM_0.3.2.tgz, r-release (x86_64): convergenceDFM_0.3.2.tgz, r-oldrel (x86_64): convergenceDFM_0.3.2.tgz |
| Old sources: | convergenceDFM archive |
Linking:
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