Convergence and Dynamic Factor Models

Documentation for package ‘convergenceDFM’ version 0.1.4

choose_var_lag	Select optimal VAR lag order with multiple criteria
deltaR2_ou	Incremental R-squared from X in OU model
diagnose_data	Diagnose and prepare data matrices
estimate_DFM	Estimate Dynamic Factor Model with VAR dynamics
estimate_factor_OU	Estimate Factor Ornstein-Uhlenbeck model (Stan if available)
make_X_innovations	Extract X innovations from VAR model
plot_error_correction_panel	Plot error correction panel
read_cpi	Read CPI data from Excel file
rescue_short_run_channel	Rescue short-run channel test
rotation_null_test	Rotation null hypothesis test for factor coupling
row_norm1	Normalize matrix rows to sum to one
run_complete_factor_analysis_robust	Complete factor-OU convergence analysis pipeline
run_convergence_robustness_tests	Run comprehensive robustness test suite
run_rotation_null_on_results	Run rotation null test on complete analysis results
select_optimal_components_safe	Select optimal number of PLS components with cross-validation
test_cointegration_control	Classical cointegration control (Johansen trace or eigen)
test_jackknife_sectors	Jackknife robustness test by sector
test_permutation_robustness	Permutation-based robustness test
test_reweighting_robustness	Reweighting-based robustness test
to_num_commas	Convert European number format to numeric
visualize_factor_dynamics	Visualize factor dynamics comprehensively
visualize_factor_dynamics_simple	Simple factor dynamics visualization