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), |
| dse (>= 2006.1-1), EvalEst (>= 2006.1-1) | |
| Suggests: | CDNmoney |
| License: | GPL Version 2. |
| URL: | http://tsanalysis.r-forge.r-project.org/ |
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).
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 https://hdl.handle.net/11370/d7d4ea3d-af1d-487a-b9b6-c0816994ef5a.
Gilbert, Paul D. and Meijer, Erik (2006) Money and Credit Factors. Bank of Canada Working Paper 2006-3, available at https://www.bankofcanada.ca/2006/03/working-paper-2006-3/.