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

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.ttv9z@ncf.ca> and Erik Meijer <meijer@rand.org>

Maintainer: Paul Gilbert <pgilbert.ttv9z@ncf.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 at http://www.bankofcanada.ca/2006/03/publications/research/working-paper-2006-3/.

See Also

estTSF.ML, GPArotation, tframe, dse

Results