tsfa-package {tsfa} | R Documentation |
TSFA extends standard factor analysis (FA) to time series data. Rotations methods can be applied as in FA. A dynamic model of the factors is not assumed, but could be estimated separately using the extracted factors.
Package: | tsfa |
Depends: | R (>= 2.0.0), GPArotation, setRNG (>= 2004.4-1), tframe (>= 2006.1-1), |
dse1 (>= 2006.1-1), dse2 (>= 2006.1-1) | |
Suggests: | CDNmoney |
License: | GPL Version 2. |
URL: | http://www.bank-banque-canada.ca/pgilbert |
The main functions are:
DstandardizedLoadings Extract standardized loadings from an object loadings Extractloadings from an object estTSF.ML Estimate a time series factor model factors Extract time series factors from an object FAmodelFitStats Various fit statistics. simulate Simulate a time series factor model summary Summary methods for \pkg{tsfa} objects tfplot Plot methods for \pkg{tsfa} objects TSFmodel Construct a time series factor model
An overview of how to use the package is available in the vignette
tsfa
(source, pdf).
Paul Gilbert <pgilbert@bank-banque-canada.ca> and Erik Meijer <meijer@rand.org>
Maintainer: Paul Gilbert <pgilbert@bank-banque-canada.ca>
Gilbert, Paul D. and Meijer, Erik (2005) Time Series Factor Analaysis with an Application to Measuring Money. Research Report 05F10, University of Groningen, SOM Research School. Available from http://som.eldoc.ub.rug.nl/reports/themeF/2005/05F10/.
Gilbert, Paul D. and Meijer, Erik (2006) Money and Credit Factors. Bank of Canada Working Paper 2006-3, Available from http://www.bank-banque-canada.ca/en/res/wp/wp(y)_2006.html.
estTSF.ML
,
GPArotation
,
tframe
,
dse1
,
dse2