{ "_id": "6a34872f3efcd9bda43c7f51", "Package": "dfms", "Version": "1.0.1", "Title": "Dynamic Factor Models", "Authors@R": "c(person(\"Sebastian\", \"Krantz\", role = c(\"aut\", \"cre\"), email = \"sebastian.krantz@graduateinstitute.ch\"),\nperson(\"Rytis\", \"Bagdziunas\", role = \"aut\"),\nperson(\"Santtu\", \"Tikka\", role = \"rev\"),\nperson(\"Eli\", \"Holmes\", role = \"rev\"),\nperson(\"Christian\", \"Klettner\", role = \"ctb\"))", "Description": "Efficient estimation of Dynamic Factor Models using the\nExpectation Maximization (EM) algorithm or Two-Step (2S)\nestimation, supporting datasets with missing data and\nmixed-frequency nowcasting applications. Factors follow a\nstationary VAR process of order p. Estimation options include:\nrunning the Kalman Filter and Smoother once with PCA initial\nvalues (2S) as in Doz, Giannone and Reichlin (2011)\n; iterated Kalman Filtering\nand Smoothing until EM convergence as in Doz, Giannone and\nReichlin (2012) ; or the adapted EM\nalgorithm of Banbura and Modugno (2014) ,\nallowing arbitrary missing-data patterns and monthly-quarterly\nmixed-frequency datasets. The implementation uses the\n'Armadillo' 'C++' library and the 'collapse' package for fast\nestimation. A comprehensive set of methods supports\ninterpretation and visualization, forecasting, and\ndecomposition of the 'news' content of macroeconomic data\nreleases following Banbura and Modugno (2014). Information\ncriteria to choose the number of factors are also provided,\nfollowing Bai and Ng (2002) .", "URL": "https://docs.ropensci.org/dfms/, https://github.com/ropensci/dfms", "BugReports": "https://github.com/ropensci/dfms/issues", "License": "GPL-3", "Encoding": "UTF-8", "LazyData": "true", "Config/testthat/edition": "3", "VignetteBuilder": "knitr", "Config/roxygen2/version": "8.0.0", "NeedsCompilation": "yes", "Packaged": { "Date": "2026-06-18 23:58:51 UTC", "User": "root" }, "Author": "Sebastian Krantz [aut, cre], Rytis Bagdziunas [aut], Santtu\nTikka [rev], Eli Holmes [rev], Christian Klettner [ctb]", "Maintainer": "Sebastian Krantz ", "Repository": "https://cran.r-universe.dev", "Date/Publication": "2026-06-18 21:00:02 UTC", "RemoteUrl": "https://github.com/cran/dfms", "RemoteRef": "HEAD", "RemoteSha": "1eb3ef8e4301947788f3305231f139b6aa63a54f", "MD5sum": "13ca56b33177cc1fe75eb0a6e6d00a62", "_user": "cran", "_type": "src", "_file": "dfms_1.0.1.tar.gz", "_fileid": "9c835851d3bfbe66a962c1dd7a019bfc099c7f8aae990fb8e42bd159f5f602ab", "_filesize": 3893675, "_sha256": "9c835851d3bfbe66a962c1dd7a019bfc099c7f8aae990fb8e42bd159f5f602ab", "_created": "2026-06-18T23:58:51.000Z", "_published": "2026-06-19T00:02:55.004Z", "_distro": "noble", "_jobs": [ { "job": 82258090431, "time": 171, "config": "linux-devel-arm64", "r": "4.7.0", "check": "NOTE", "artifact": "7738649712" }, { "job": 82258090457, "time": 170, "config": "linux-devel-x86_64", "r": "4.7.0", "check": "NOTE", "artifact": "7738648721" }, { "job": 82258090445, "time": 183, "config": "linux-release-arm64", "r": "4.6.0", "check": "NOTE", "artifact": "7738652292" }, { "job": 82258090436, "time": 158, "config": "linux-release-x86_64", "r": "4.6.0", "check": "NOTE", "artifact": "7738646185" }, { "job": 82257670816, "time": 235, "config": "source", "r": "4.6.0", "check": "OK", "artifact": "7738610391" }, { "job": 82258090395, "time": 137, "config": "wasm-release", "r": "4.6.0", "check": "OK", "artifact": "7738641100" } ], "_buildurl": "https://github.com/r-universe/cran/actions/runs/27796597135", "_status": "success", "_host": "GitHub-Actions", "_upstream": "https://github.com/cran/dfms", "_commit": { "id": "1eb3ef8e4301947788f3305231f139b6aa63a54f", "author": "Sebastian Krantz ", "committer": "cran-robot ", "message": "version 1.0.1\n", "time": 1781816402 }, "_maintainer": { "name": "Sebastian Krantz", "email": "sebastian.krantz@graduateinstitute.ch", "login": "sebkrantz", "mastodon": "@sebkrantz@fosstodon.org", "bluesky": "@sebkrantz.bsky.social", "description": "Economist and Software Engineer", "uuid": 48053842 }, "_registered": true, "_dependencies": [ { "package": "R", "version": ">= 4.1.0", "role": "Depends" }, { "package": "Rcpp", "role": "LinkingTo" }, { "package": "RcppArmadillo", "role": "LinkingTo" }, { "package": "Rcpp", "version": ">= 1.0.1", "role": "Imports" }, { "package": "collapse", "version": ">= 2.0.0", "role": "Imports" }, { "package": "xts", "role": "Suggests" }, { "package": "vars", "role": "Suggests" }, { "package": "magrittr", "role": "Suggests" }, { "package": "testthat", "version": ">= 3.0.0", "role": "Suggests" }, { "package": "knitr", "role": "Suggests" }, { "package": "rmarkdown", "role": "Suggests" }, { "package": "covr", "role": "Suggests" }, { "package": "dlm", "role": "Suggests" }, { "package": "KFAS", "role": "Suggests" } ], "_owner": "cran", "_selfowned": false, "_usedby": 0, "_updates": [ { "week": "2025-34", "n": 1 }, { "week": "2025-39", "n": 1 }, { "week": "2026-03", "n": 1 }, { "week": "2026-05", "n": 1 }, { "week": "2026-25", "n": 1 } ], "_tags": [ { "name": "0.3.1", "date": "2025-08-20" }, { "name": "0.3.2", "date": "2025-09-24" }, { "name": "0.4.0", "date": "2026-01-18" }, { "name": "1.0.0", "date": "2026-01-26" }, { "name": "1.0.1", "date": "2026-06-18" } ], "_stars": 1, "_contributors": [ { "user": "sebkrantz", "count": 11, "uuid": 48053842 } ], "_userbio": { "uuid": 6899542, "type": "organization", "name": "cran", "followers": 610, "description": "Unofficial read-only mirror of all CRAN R packages" }, "_downloads": { "count": 569, "source": "https://cranlogs.r-pkg.org/downloads/total/last-month/dfms" }, "_devurl": "https://github.com/ropensci/dfms", "_pkgdown": "https://docs.ropensci.org/dfms/", "_searchresults": 24, "_topics": [ "openblas", "cpp" ], "_rbuild": "4.6.0", "_assets": [ "extra/citation.cff", "extra/citation.html", "extra/citation.json", "extra/citation.txt", "extra/contents.json", "extra/dfms.html", "extra/NEWS.html", "extra/NEWS.txt", "extra/readme.html", "extra/readme.md", "manual.pdf" ], "_homeurl": "https://github.com/ropensci/dfms", "_realowner": "ropensci", "_cranurl": false, "_releases": [ { "version": "0.1.3", "date": "2022-10-12" }, { "version": "0.1.4", "date": "2023-01-14" }, { "version": "0.2.0", "date": "2023-03-31" }, { "version": "0.2.1", "date": "2023-04-03" }, { "version": "0.2.2", "date": "2024-06-09" }, { "version": "0.3.0", "date": "2025-05-18" }, { "version": "0.3.1", "date": "2025-08-20" }, { "version": "0.3.2", "date": "2025-09-24" }, { "version": "0.4.0", "date": "2026-01-18" }, { "version": "1.0.0", "date": "2026-01-26" }, { "version": "1.0.1", "date": "2026-06-18" } ], "_exports": [ ".VAR", "ainv", "apinv", "convert", "DFM", "em_converged", "FIS", "ICr", "news", "SKF", "SKFS", "tsnarmimp" ], "_datasets": [ { "name": "BM14_M", "title": "Euro Area Macroeconomic Data from Banbura and Modugno 2014", "object": "BM14_M", "class": [ "xts", "zoo" ], "fields": [ "ip_total", "ip_tot_cstr", "ip_tot_cstr_en", "ip_constr", "ip_im_goods", "ip_capital", "ip_d_cstr", "ip_nd_cons", "ip_en", "ip_en_2", "ip_manuf", "ip_metals", "ip_chemicals", "ip_electric", "ip_machinery", "ip_paper", "ip_plastic", "new_cars", "orders", "ret_turnover_defl", "ecs_ec_sent_ind", "ecs_ind_conf", "ecs_ind_order_book", "ecs_ind_stocks", "ecs_ind_prod_exp", "ecs_ind_prod_rec_m", "ecs_ind_x_orders", "ecs_ind_empl_exp", "ecs_cons_conf", "ecs_cons_sit_over_next_12", "ecs_cons_exp_unempl", "ecs_cons_gen_last_12m", "ecs_cstr_conf", "ecs_cstr_order_books", "ecs_cstr_empl_exp", "ecs_cstr_prod_recent", "ecs_ret_tr_conf", "ecs_ret_tr_bus_sit", "ecs_ret_tr_stocks", "ecs_ret_tr_exp_bus", "ecs_ret_tr_empl", "ecs_serv_conf", "ecs_serv_empl_exp", "pms_comp_output", "pms_comp_empl", "pms_pmi", "pms_manuf_empl", "pms_manuf_output", "pms_manuf_product", "pms_serv_out", "pms_serv_empl", "pms_serv_new_bus", "pms_serv_product", "urx", "empl_total", "empl_tot_xc", "empl_cstr", "empl_manuf", "extra_ea_trade_exp_val", "intra_ea_trade_exp_val", "extra_ea_trade_imp_val", "intra_ea_trade_imp_val", "us_ip", "us_urx", "us_empl", "us_retail_sales", "us_ip_manuf_exp", "us_cons_exp", "us_r3_m", "us_r10_year", "m3", "loans", "ir_long", "ir_short", "ir_1_year", "ir_2_year", "ir_5_year", "eer", "eer_cpi", "eer_ppi", "exr_usd", "exr_gbp", "rxr_yen", "euro50", "euro325", "sp500", "dow_j", "raw_mat_en", "raw_mat_oil", "raw_mat_gold", "raw_mat_oil_fwd", "raw_mat" ], "rows": 357, "table": true, "tojson": false }, { "name": "BM14_Models", "title": "Euro Area Macroeconomic Data from Banbura and Modugno 2014", "object": "BM14_Models", "class": [ "data.frame" ], "fields": [ "series", "label", "code", "freq", "log_trans", "small", "medium", "large" ], "rows": 101, "table": true, "tojson": true }, { "name": "BM14_Q", "title": "Euro Area Macroeconomic Data from Banbura and Modugno 2014", "object": "BM14_Q", "class": [ "xts", "zoo" ], "fields": [ "gdp", "priv_cons", "invest", "export", "import", "empl", "prductivity", "capacity", "gdp_us" ], "rows": 119, "table": true, "tojson": false } ], "_help": [ { "page": "dfms-package", "title": "Dynamic Factor Models", "topics": [ "dfms-package", "dfms" ] }, { "page": "dot-VAR", "title": "(Fast) Barebones Vector-Autoregression", "topics": [ ".VAR" ] }, { "page": "ainv", "title": "Armadillo's Inverse Functions", "topics": [ "ainv", "apinv" ] }, { "page": "as.data.frame.dfm", "title": "Extract Factor Estimates in a Data Frame", "topics": [ "as.data.frame.dfm" ] }, { "page": "BM14_Models", "title": "Euro Area Macroeconomic Data from Banbura and Modugno 2014", "topics": [ "BM14_M", "BM14_Models", "BM14_Q" ] }, { "page": "convert", "title": "Convert DFM to Other State Space Model Formats", "topics": [ "convert", "convert.dfm" ] }, { "page": "DFM", "title": "Estimate a Dynamic Factor Model", "topics": [ "DFM" ] }, { "page": "em_converged", "title": "Convergence Test for EM-Algorithm", "topics": [ "em_converged" ] }, { "page": "FIS", "title": "(Fast) Fixed-Interval Smoother (Kalman Smoother)", "topics": [ "FIS" ] }, { "page": "ICr", "title": "Information Criteria to Determine the Number of Factors (r)", "topics": [ "ICr", "plot.ICr", "print.ICr", "screeplot.ICr" ] }, { "page": "news", "title": "News Decomposition", "topics": [ "$.dfm_news_list", "as.data.frame.dfm_news_list", "news", "news.dfm", "print.dfm_news", "print.dfm_news_list", "[.dfm_news_list", "[[.dfm_news_list" ] }, { "page": "plot.dfm", "title": "Plot DFM", "topics": [ "plot.dfm", "screeplot.dfm" ] }, { "page": "predict.dfm", "title": "DFM Forecasts", "topics": [ "as.data.frame.dfm_forecast", "plot.dfm_forecast", "predict.dfm", "print.dfm_forecast" ] }, { "page": "residuals.dfm", "title": "DFM Residuals and Fitted Values", "topics": [ "fitted.dfm", "resid.dfm", "residuals.dfm" ] }, { "page": "SKF", "title": "(Fast) Stationary Kalman Filter", "topics": [ "SKF" ] }, { "page": "SKFS", "title": "(Fast) Stationary Kalman Filter and Smoother", "topics": [ "SKFS" ] }, { "page": "summary.dfm", "title": "DFM Summary Methods", "topics": [ "coef.dfm", "logLik.dfm", "print.dfm", "print.dfm_summary", "summary.dfm" ] }, { "page": "tsnarmimp", "title": "Remove and Impute Missing Values in a Multivariate Time Series", "topics": [ "tsnarmimp" ] } ], "_readme": "https://github.com/cran/dfms/raw/HEAD/README.md", "_rundeps": [ "collapse", "Rcpp", "RcppArmadillo" ], "_sysdeps": [ { "shlib": "liblapack", "package": "libopenblas0-pthread", "source": "openblas", "version": "0.3.26+ds-1ubuntu0.1", "name": "openblas", "homepage": "https://www.openblas.net/", "description": "Optimized BLAS (linear algebra) library (shared lib, pthread)" }, { "shlib": "libblas", "package": "libopenblas0-pthread", "source": "openblas", "version": "0.3.26+ds-1ubuntu0.1", "name": "openblas", "homepage": "https://www.openblas.net/", "description": "Optimized BLAS (linear algebra) library (shared lib, pthread)" }, { "shlib": "libstdc++", "package": "libstdc++6", "source": "gcc", "version": "14.2.0-4ubuntu2~24.04.1", "name": "c++", "homepage": "http://gcc.gnu.org/", "description": "GNU Standard C++ Library v3" } ], "_vignettes": [ { "source": "dynamic_factor_models.Rnw", "filename": "dynamic_factor_models.pdf", "title": "Dynamic Factor Models: A Very Short Introduction", "engine": "utils::Sweave", "headings": [], "created": "2023-03-31 08:10:02", "modified": "2023-03-31 08:10:02", "commits": 1 }, { "source": "introduction.Rmd", "filename": "introduction.html", "title": "Introduction to dfms", "author": "Sebastian Krantz", "engine": "knitr::rmarkdown", "headings": [ "Determining the Structure of the Model", "Estimation and Exploration", "Forecasting", "Estimation with Mixed Frequency", "Modeling AR(1) Idiosyncratic Errors", "News Decomposition", "Additional Functions", "Conclusion", "References" ], "created": "2022-10-12 07:32:35", "modified": "2026-06-18 21:00:02", "commits": 6 } ], "_score": 4.079181246047625, "_indexed": false, "_nocasepkg": "dfms", "_universes": [ "cran" ], "_indexurl": "https://ropensci.r-universe.dev/dfms", "_previous": "1.0.0", "_binaries": [ { "r": "4.7.0", "os": "linux", "version": "1.0.1", "date": "2026-06-19T00:01:37.000Z", "distro": "noble", "arch": "aarch64", "commit": "1eb3ef8e4301947788f3305231f139b6aa63a54f", "fileid": "71d525861c6d90d19e9245853507cba585b9084599cceba95766305b38706445", "status": "success", "check": "NOTE", "buildurl": "https://github.com/r-universe/cran/actions/runs/27796597135" }, { "r": "4.7.0", "os": "linux", "version": "1.0.1", "date": "2026-06-19T00:01:31.000Z", "distro": "noble", "arch": "x86_64", "commit": "1eb3ef8e4301947788f3305231f139b6aa63a54f", "fileid": "0037f0e3285d42adcb5300fa680f5e0af4992448def97a6ad3b092a71cb0e2e2", "status": "success", "check": "NOTE", "buildurl": "https://github.com/r-universe/cran/actions/runs/27796597135" }, { "r": "4.6.0", "os": "linux", "version": "1.0.1", "date": "2026-06-19T00:01:50.000Z", "distro": "noble", "arch": "aarch64", "commit": "1eb3ef8e4301947788f3305231f139b6aa63a54f", "fileid": "791cf4385ab4d865930584c33cac0c6e782a7c41bf6b1cbd2201a7c7b3a8a850", "status": "success", "check": "NOTE", "buildurl": "https://github.com/r-universe/cran/actions/runs/27796597135" }, { "r": "4.6.0", "os": "linux", "version": "1.0.1", "date": "2026-06-19T00:01:20.000Z", "distro": "noble", "arch": "x86_64", "commit": "1eb3ef8e4301947788f3305231f139b6aa63a54f", "fileid": "7bb44d7faa8f47e065dd2071dbb5fad2ae6052f50be25e6c7314ad1c5ccfa888", "status": "success", "check": "NOTE", "buildurl": "https://github.com/r-universe/cran/actions/runs/27796597135" }, { "r": "4.6.0", "os": "wasm", "version": "1.0.1", "date": "2026-06-19T00:01:30.000Z", "arch": "emscripten", "commit": "1eb3ef8e4301947788f3305231f139b6aa63a54f", "fileid": "495bf9903f031974ccb57a5d13b59198f47d439cf6834328eff40e44151fcc92", "status": "success", "buildurl": "https://github.com/r-universe/cran/actions/runs/27796597135" } ] }