Package: convergenceDFM
Type: Package
Title: Convergence and Dynamic Factor Models
Version: 0.1.4
Authors@R: person("José Mauricio", "Gómez Julián", email = "isadorenabi@pm.me", role = c("aut", "cre"))
Description: 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) <doi:10.1198/073500102317351921> and the
    Generalized Dynamic Factor Model of Forni, Hallin, Lippi and Reichlin (2000)
    <doi:10.1162/003465300559037>; (ii) cointegration analysis à la Johansen
    (1988) <doi:10.1016/0165-1889(88)90041-3>; (iii) OU-based 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>;
    (iv) robust inference via 'sandwich' HC/HAC estimators (Zeileis (2004)
    <doi:10.18637/jss.v011.i10>) and regression diagnostics ('lmtest'); and
    (v) optional PLS-based factor preselection (Mevik and Wehrens (2007)
    <doi:10.18637/jss.v018.i02>). Functions emphasize reproducibility and clear,
    publication-ready summaries.
License: GPL-3
Encoding: UTF-8
RoxygenNote: 7.3.3
Depends: R (>= 4.1)
Imports: stats, methods, pls, vars, urca, readxl, dplyr, tidyr,
        stringr, magrittr, zoo
Suggests: testthat (>= 3.0.0), knitr, rmarkdown, cmdstanr, posterior,
        rstan
Additional_repositories: https://mc-stan.org/r-packages/
VignetteBuilder: knitr
Config/testthat/edition: 3
NeedsCompilation: no
Packaged: 2025-11-24 17:07:32 UTC; ROG
Author: José Mauricio Gómez Julián [aut, cre]
Maintainer: José Mauricio Gómez Julián <isadorenabi@pm.me>
Repository: CRAN
Date/Publication: 2025-12-01 13:40:07 UTC
Built: R 4.6.0; ; 2026-04-29 14:30:34 UTC; unix
