dynamicfactoranalysis is a Python package that provides tools for dynamic factor analysis.
The current version contains the following implementation
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DynamicPCA- Implementation of dynamic principal component analysis following Forni et al. (2000), Forni et al. (2005), and Favero et al. (2005). See
examples/DynamicPCA.
- Implementation of dynamic principal component analysis following Forni et al. (2000), Forni et al. (2005), and Favero et al. (2005). See
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DynamicFactorModel- Implementation of the dynamic form of dynamic factor model. The implementation is modified from the statsmodels implementation with added features for L1 and L2 regularization and mixed-data sampling (MIDAS). See
examples/DynamicFactorModel.
- Implementation of the dynamic form of dynamic factor model. The implementation is modified from the statsmodels implementation with added features for L1 and L2 regularization and mixed-data sampling (MIDAS). See
-
DynamicFactorModelOptimizer- Implementation for dynamic factor model order selection following Bai & Ng (2002) and Bai & Ng (2008). See
examples/DynamicFactorModel.
- Implementation for dynamic factor model order selection following Bai & Ng (2002) and Bai & Ng (2008). See
Copy the folder dynamicfactoranalysis to your project directory and import the package.
Contributions are welcomed, especially in creating new models and features.
MIT License