Efficient estimation of Dynamic Factor Models using the Expectation Maximization (EM) algorithm or Two-Step (2S) estimation, supporting datasets with missing data and mixed-frequency nowcasting applications. Factors follow a stationary VAR process of order p. Estimation options include: running the Kalman Filter and Smoother once with PCA initial values (2S) as in Doz, Giannone and Reichlin (2011) <doi:10.1016/j.jeconom.2011.02.012>; iterated Kalman Filtering and Smoothing until EM convergence as in Doz, Giannone and Reichlin (2012) <doi:10.1162/REST_a_00225>; or the adapted EM algorithm of Banbura and Modugno (2014) <doi:10.1002/jae.2306>, allowing arbitrary missing-data patterns and monthly-quarterly mixed-frequency datasets. The implementation uses the 'Armadillo' 'C++' library and the 'collapse' package for fast estimation. A comprehensive set of methods supports interpretation and visualization, forecasting, and decomposition of the 'news' content of macroeconomic data releases following Banbura and Modugno (2014). Information criteria to choose the number of factors are also provided, following Bai and Ng (2002) <doi:10.1111/1468-0262.00273>.
| Version: | 1.0.0 |
| Depends: | R (≥ 4.1.0) |
| Imports: | Rcpp (≥ 1.0.1), collapse (≥ 2.0.0) |
| LinkingTo: | Rcpp, RcppArmadillo |
| Suggests: | xts, vars, magrittr, testthat (≥ 3.0.0), knitr, rmarkdown, covr |
| Published: | 2026-01-26 |
| DOI: | 10.32614/CRAN.package.dfms |
| Author: | Sebastian Krantz [aut, cre], Rytis Bagdziunas [aut], Santtu Tikka [rev], Eli Holmes [rev] |
| Maintainer: | Sebastian Krantz <sebastian.krantz at graduateinstitute.ch> |
| BugReports: | https://github.com/ropensci/dfms/issues |
| License: | GPL-3 |
| URL: | https://docs.ropensci.org/dfms/, https://github.com/ropensci/dfms |
| NeedsCompilation: | yes |
| Materials: | README, NEWS |
| In views: | TimeSeries |
| CRAN checks: | dfms results |
| Reference manual: | dfms.html , dfms.pdf |
| Vignettes: |
Introduction to dfms (source, R code) Dynamic Factor Models: A Very Short Introduction (source) |
| Package source: | dfms_1.0.0.tar.gz |
| Windows binaries: | r-devel: dfms_0.4.0.zip, r-release: dfms_0.4.0.zip, r-oldrel: dfms_0.4.0.zip |
| macOS binaries: | r-release (arm64): dfms_1.0.0.tgz, r-oldrel (arm64): dfms_1.0.0.tgz, r-release (x86_64): dfms_1.0.0.tgz, r-oldrel (x86_64): dfms_1.0.0.tgz |
| Old sources: | dfms archive |
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