Provides a comprehensive framework in R for modeling and forecasting economic scenarios based on multi-level dynamic factor model. The package enables users to: (i) extract global and block-specific factors using a flexible multilevel factor structure; (ii) compute asymptotically valid confidence regions for the estimated factors, accounting for uncertainty in the factor loadings; (iii) estimate factor-augmented quantile regressions; (iv) recover full predictive densities from these quantile forecasts; and (v) estimate the density when the factors are stressed.
| Version: |
0.1.0 |
| Depends: |
R (≥ 3.5.0) |
| Imports: |
ggplot2, plotly, sn, nloptr, ellipse, SyScSelection, quantreg, tidyr, dplyr, forcats, MASS, reshape2 |
| Suggests: |
devtools, knitr, rmarkdown, openxlsx, readxl, zoo |
| Published: |
2025-04-03 |
| DOI: |
10.32614/CRAN.package.FARS |
| Author: |
Gian Pietro Bellocca [aut, cre],
Ignacio Garrón [aut],
Vladimir Rodríguez-Caballero [aut],
Esther Ruiz [aut] |
| Maintainer: |
Gian Pietro Bellocca <gbellocc at est-econ.uc3m.es> |
| License: |
GPL-2 | GPL-3 [expanded from: GPL (≥ 2)] |
| NeedsCompilation: |
no |
| Materials: |
README |
| CRAN checks: |
FARS results |