Package: convergenceDFM
Type: Package
Title: Convergence and Dynamic Factor Models
Version: 0.3.2
Authors@R: person("José Mauricio", "Gómez Julián", email = "isadore.nabi@pm.me", role = c("aut", "cre"), comment = c(ORCID = "0009-0000-2412-3150"))
Description: 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.
License: GPL-3
Encoding: UTF-8
Roxygen: list(markdown = TRUE)
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
Additional_repositories: https://mc-stan.org/r-packages/
VignetteBuilder: knitr
Config/testthat/edition: 3
NeedsCompilation: no
Config/roxygen2/version: 8.0.0
Config/pak/sysreqs: libicu-dev
Repository: https://isadorenabi.r-universe.dev
Date/Publication: 2026-07-31 20:08:44 UTC
RemoteUrl: https://github.com/IsadoreNabi/convergenceDFM
RemoteRef: HEAD
RemoteSha: e01aa2c0a6f632b3595c4d52b5f4f2ab0905569b
Packaged: 2026-10-03 09:21:47 UTC; root
Author: José Mauricio Gómez Julián [aut, cre] (ORCID:
    <https://orcid.org/0009-0000-2412-3150>)
Maintainer: José Mauricio Gómez Julián <isadore.nabi@pm.me>
