tsfa-package {tsfa}R Documentation

Time Series Factor Analysis (TSFA)

Description

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.

Details

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).

Author(s)

Paul Gilbert <pgilbert@bank-banque-canada.ca> and Erik Meijer <meijer@rand.org>

Maintainer: Paul Gilbert <pgilbert@bank-banque-canada.ca>

References

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.

See Also

estTSF.ML, GPArotation, tframe, dse1, dse2


[Package tsfa version 2009.02-1 Index]