Convergence and Dynamic Factor Models
R package convergenceDFM version 0.3.2
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.
Software
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
José Mauricio Gómez Julián <isadore.nabi@pm.me>
Comprehensive R Archive Network (CRAN)
José Mauricio Gómez Julián [aut, cre] (ORCID:
<https://orcid.org/0009-0000-2412-3150>)
GPL-3
2026-06-26
application/tgz
https://CRAN.R-project.org/package=convergenceDFM
doi:10.32614/CRAN.package.convergenceDFM