The nowcasting package provides the tools to make forecasts of monthly or quarterly economic variables using dynamic factor models. The objective is to help the user at each step of the forecasting process, starting with the construction of a database, all the way to the interpretation of the forecasts. The dynamic factor model adopted in this package is based on the articles from Giannone et al. (2008) and Banbura et al. (2011). Although there exist several other dynamic factor model packages available for R, ours provides an environment to easily forecast economic variables and interpret results.
Supplementary materials are available in addition to this article. It can be downloaded at RJ-2019-020.zip
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For attribution, please cite this work as
Valk, et al., "Nowcasting: An R Package for Predicting Economic Variables Using Dynamic Factor Models", The R Journal, 2019
BibTeX citation
@article{RJ-2019-020, author = {Valk, Serge de and Mattos, Daiane de and Ferreira, Pedro}, title = {Nowcasting: An R Package for Predicting Economic Variables Using Dynamic Factor Models}, journal = {The R Journal}, year = {2019}, note = {https://doi.org/10.32614/RJ-2019-020}, doi = {10.32614/RJ-2019-020}, volume = {11}, issue = {1}, issn = {2073-4859}, pages = {230-244} }