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dfms version 0.4.0

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@SebKrantz SebKrantz released this 18 Jan 08:12
· 133 commits to main since this release
v0.4.0
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Learn about vigilant mode.

  • Added support for mixed-frequency estimation with AR(1) idiosyncratic errors (quarterly.vars combined with idio.ar1 = TRUE). This implements the full model of Banbura and Modugno (2014), allowing observation errors to follow AR(1) processes while handling mixed monthly-quarterly data with temporal aggregation constraints.

  • New internal functions init_cond_MQ_idio() and EMstepBMMQidio() implement the EM algorithm for the combined MQ + idio.ar1 case, with state vector structure [factors, monthly_errors, quarterly_error_lags].

  • Updated plot.dfm() with type = "residual" to properly handle mixed-frequency and AR(1) error models by using the residuals() method internally.

  • Added examples and documentation for the new MQ + idio.ar1 functionality in both the DFM() help page and the introductory vignette.

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