Description
Efficient estimation of Dynamic Factor Models using the Expectation Maximization (EM) algorithm or Two-Step (2S) estimation, supporting datasets with missing data and mixed-frequency nowcasting applications. Factors follow a stationary VAR process of order p. Estimation options include: running the Kalman Filter and Smoother once with PCA initial values (2S) as in Doz, Giannone and Reichlin (2011) <doi:10.1016/j.jeconom.2011.02.012>; iterated Kalman Filtering and Smoothing until EM convergence as in Doz, Giannone and Reichlin (2012) <doi:10.1162/REST_a_00225>; or the adapted EM algorithm of Banbura and Modugno (2014) <doi:10.1002/jae.2306>, allowing arbitrary missing-data patterns and monthly-quarterly mixed-frequency datasets. The implementation uses the 'Armadillo' 'C++' library and the 'collapse' package for fast estimation. A comprehensive set of methods supports interpretation and visualization, forecasting, and decomposition of the 'news' content of macroeconomic data releases following Banbura and Modugno (2014). Information criteria to choose the number of factors are also provided, following Bai and Ng (2002) <doi:10.1111/1468-0262.00273>.
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Last 30 days
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1.8K
Last 90 days
8.5K
Last year
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37
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143
Last 90 days
514
Last year
Trend: -11.9% (30d vs prior 30d)
1
Last 7 days
26
Last 30 days
1
All-time
autoCRAN-only: this name is served only by autoCRAN, so the count is exact.
227
Last 30 days
286
Last 90 days
514
Last year
Trend: +467.5% (30d vs prior 30d)
CRAN Check Status
Show all 13 flavors
| Flavor | Status |
|---|---|
| r-devel-linux-x86_64-debian-clang | OK |
| r-devel-linux-x86_64-debian-gcc | OK |
| r-devel-linux-x86_64-fedora-clang | NOTE |
| r-devel-linux-x86_64-fedora-gcc | NOTE |
| r-devel-windows-x86_64 | OK |
| r-oldrel-macos-arm64 | OK |
| r-oldrel-macos-x86_64 | OK |
| r-oldrel-windows-x86_64 | OK |
| r-patched-linux-x86_64 | OK |
| r-release-linux-x86_64 | OK |
| r-release-macos-arm64 | OK |
| r-release-macos-x86_64 | OK |
| r-release-windows-x86_64 | OK |
Check details (2 non-OK)
dependencies in R code
Namespace in Imports field not imported from: ‘Rcpp’ All declared Imports should be used.
dependencies in R code
Namespace in Imports field not imported from: ‘Rcpp’ All declared Imports should be used.
Check History
NOTE 10 OK · 4 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE Apr 22, 2026
dependencies in R code
Namespace in Imports field not imported from: ‘Rcpp’ All declared Imports should be used.
dependencies in R code
Namespace in Imports field not imported from: ‘Rcpp’ All declared Imports should be used.
installed package size
installed size is 6.6Mb
sub-directories of 1Mb or more:
doc 2.3Mb
libs 3.8Mb
installed package size
installed size is 6.7Mb
sub-directories of 1Mb or more:
doc 2.3Mb
libs 3.9Mb
ERROR 9 OK · 4 NOTE · 0 WARNING · 1 ERROR · 0 FAILURE Apr 18, 2026
dependencies in R code
Namespace in Imports field not imported from: ‘Rcpp’ All declared Imports should be used.
dependencies in R code
Namespace in Imports field not imported from: ‘Rcpp’ All declared Imports should be used.
whether package can be installed
Installation failed. See 'd:/Rcompile/CRANpkg/local/4.6/dfms.Rcheck/00install.out' for details.
installed package size
installed size is 6.6Mb
sub-directories of 1Mb or more:
doc 2.3Mb
libs 3.8Mb
installed package size
installed size is 6.7Mb
sub-directories of 1Mb or more:
doc 2.3Mb
libs 3.9Mb
NOTE 10 OK · 4 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE Mar 10, 2026
dependencies in R code
Namespace in Imports field not imported from: ‘Rcpp’ All declared Imports should be used.
dependencies in R code
Namespace in Imports field not imported from: ‘Rcpp’ All declared Imports should be used.
installed package size
installed size is 6.6Mb
sub-directories of 1Mb or more:
doc 2.3Mb
libs 3.8Mb
installed package size
installed size is 6.7Mb
sub-directories of 1Mb or more:
doc 2.3Mb
libs 3.9Mb
Code
Structure
Lines of code
7,553
Files
64
Compiled share
8.1%
Has compiled src
Yes
Language breakdown
API
Exported functions
12
Internal functions
51
Recent export changes
Testing & CI
Has tests
Yes
Test-to-code ratio
0.17
testthat edition
3
CI present
No
CI type
[]
PR gated
No
Docs
Return-value doc rate
100%
\dontrun example ratio
35.3%
Roxygen coverage
100%
Has pkgdown
No
NEWS present
Yes
Health & Security signals
Informational signals; not verdicts.
on.exit coverage
100%
Unsafe pattern score
0
Dep constraint coverage
100%
Secret pattern count
0
Bundled 3rd-party code
2 items
Portability & License
Min R version
4.1.0
System requirements
–
C++ standard
–
License
GPL-3
License flags
SPDX valid, OSI approved
History
Versions
11
First release
2022-10-12
Latest release
2026-06-18
Avg cadence
93 days
Cold removal rate
–
Dep drift
0
LOC over versions
Per-file churn detail lives in the source pipeline: https://github.com/r-observatory/cran-code-metrics.