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cff-version: 1.2.0
message: 'To cite package "convergenceDFM" in publications use:'
type: software
license: GPL-3.0-only
title: 'convergenceDFM: Convergence and Dynamic Factor Models'
version: 0.1.4
doi: 10.32614/CRAN.package.convergenceDFM
abstract: 'Tests convergence in macro-financial panels combining Dynamic Factor Models
  (DFM) and mean-reverting Ornstein-Uhlenbeck (OU) processes. Provides: (i) static/approximate
  DFMs for large panels with VAR/VECM stability checks, Portmanteau tests and rolling
  out-of-sample R^2, following Stock and Watson (2002) <https://doi.org/10.1198/073500102317351921>
  and the Generalized Dynamic Factor Model of Forni, Hallin, Lippi and Reichlin (2000)
  <https://doi.org/10.1162/003465300559037>; (ii) cointegration analysis à la Johansen
  (1988) <https://doi.org/10.1016/0165-1889(88)90041-3>; (iii) OU-based convergence
  and half-life summaries grounded in Uhlenbeck and Ornstein (1930) <https://doi.org/10.1103/PhysRev.36.823>
  and Vasicek (1977) <https://doi.org/10.1016/0304-405X(77)90016-2>; (iv) robust inference
  via ''sandwich'' HC/HAC estimators (Zeileis (2004) <https://doi.org/10.18637/jss.v011.i10>)
  and regression diagnostics (''lmtest''); and (v) optional PLS-based factor preselection
  (Mevik and Wehrens (2007) <https://doi.org/10.18637/jss.v018.i02>). Functions emphasize
  reproducibility and clear, publication-ready summaries.'
authors:
- family-names: Gómez Julián
  given-names: José Mauricio
  email: isadorenabi@pm.me
repository: https://cran.r-universe.dev
commit: c32e2cb627fc9e6ad19dd92c36de2fb1f0baf34d
date-released: '2025-12-01'
contact:
- family-names: Gómez Julián
  given-names: José Mauricio
  email: isadorenabi@pm.me