Add DynamicFactor and a criterion for number of factors
#4
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junyuan-chen
added
enhancement
Codecov ReportAll modified and coverable lines are covered by tests ✅
Additional details and impacted files@@ Coverage Diff @@
## main #4 +/- ##
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+ Coverage 99.85% 99.88% +0.02%
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Files 8 9 +1
Lines 714 902 +188
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+ Hits 713 901 +188
Misses 1 1 ☔ View full report in Codecov by Sentry. |
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Fitting a
DynamicFactorestimates the full model described in Stock and Watson (2016) with least squares. Some changes are made with the VAR estimation to allow a more uniform interface for in-place estimation.BaiNgis added for determining the number of unobserved factors.The data file is replaced with one that contains the levels of the variables instead of the first differences.