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message: 'To cite package "convergenceDFM" in publications use:'
type: software
license: GPL-3.0-only
title: 'convergenceDFM: Convergence and Dynamic Factor Models'
version: 0.3.2
doi: 10.32614/CRAN.package.convergenceDFM
abstract: 'Tests convergence in macro-financial panels combining Dynamic Factor Models
  (DFM) and mean-reverting, discrete-time Ornstein-Uhlenbeck/AR(1) factor processes.
  Provides: (i) static factor extraction with VAR stability checks, Portmanteau tests
  and rolling out-of-sample R^2, in the spirit of Stock and Watson (2002) <https://doi.org/10.1198/073500102317351921>
  and the Generalized Dynamic Factor Model of Forni, Hallin, Lippi and Reichlin (2000)
  <https://doi.org/10.1162/003465300559037>; (ii) cointegration analysis a la Johansen
  (1988) <https://doi.org/10.1016/0165-1889(88)90041-3>; (iii) Bayesian factor-OU/AR(1)
  estimation with convergence and half-life summaries grounded in Uhlenbeck and Ornstein
  (1930) <https://doi.org/10.1103/PhysRev.36.823> and Vasicek (1977) <https://doi.org/10.1016/0304-405X(77)90016-2>,
  with full Markov chain Monte Carlo convergence diagnostics; (iv) heteroskedasticity-consistent
  (HC) and, when the suggested ''sandwich'' (Zeileis (2004) <https://doi.org/10.18637/jss.v011.i10>)
  and ''lmtest'' packages are available, heteroskedasticity- and autocorrelation-
  consistent (HAC) robust inference, with a self-contained HC fallback; (v) coupling
  significance tests based on time-shift / block-bootstrap nulls that preserve marginal
  dynamics while breaking cross-series dependence; and (vi) optional PLS-based factor
  preselection (Mevik and Wehrens (2007) <https://doi.org/10.18637/jss.v018.i02>).
  Functions emphasize reproducibility (explicit seeds throughout) and clear, publication-ready
  summaries.'
authors:
- family-names: Gómez Julián
  given-names: José Mauricio
  email: isadore.nabi@pm.me
  orcid: https://orcid.org/0009-0000-2412-3150
repository: https://isadorenabi.r-universe.dev
commit: e01aa2c0a6f632b3595c4d52b5f4f2ab0905569b
date-released: '2026-07-31'
contact:
- family-names: Gómez Julián
  given-names: José Mauricio
  email: isadore.nabi@pm.me
  orcid: https://orcid.org/0009-0000-2412-3150