dynamic-factor-models

{mvgam} R 📦 to fit Dynamic Bayesian Generalized Additive Models for multivariate modeling and forecasting

Dynamic Factor Models for R

Automated DFM Nowcasting Model and Platform for South Africa (Active Repo at coderaanalytics-models/SA-Nowcast)

A Julia implementation of estimation and validation algorithms for time series compatible with incomplete data.

A Python implementation of the Dynamic Factor Model (DFM) for macroeconomic nowcasting, extending the FRBNY framework (Qian & Bok) with a modern API: real-time vintage management, Kalman-based news decomposition, optional Numba acceleration, caching, and interactive Plotly visualizations.

{ffc} R 📦 to fit dynamic functional time series models and produce functional forecasts

Structural Dynamic Factor is a repository focused on the development and analysis of structural dynamic factor models used in econometrics and time series analysis.

Riemannian Factor Dynamics: a SPD factor model built around a moving baseline in curved geometry

A mixed-frequency dynamic factor model for real-time nowcasting of China’s GDP growth and its application to bond market timing.

Modelo MS-Comp (Doornik, 2013) com AR(p), P = Pv ⊗ Pm, smoothing e pipeline com DynamicFactor do statsmodels.

Code for Master Thesis titled: "Dynamic Factor Model with Time-Varying Parameters: Simulation Study & Application to International Inflation Dynamics"

Provides methods for dynamic factor models, such as estimation, w/ and w/o penalization, forecasting and filtering

I have performed a time series analysis of the stock prices of Tata Consultancy Services from 2002 to 2021. I have started by visualising the data. And then I fitted models like an autoregressive integrated moving average (ARIMA) model, Vector autoregression (VAR), SARIMA (seasonal ARIMA) model, UCM, and Dynamic Factor models.

GDPNow-Morocco: a quarterly GDP nowcasting model for Morocco, adapting the Federal Reserve Bank of Atlanta's GDPNow methodology (Higgins, 2014) and other methods