Factor models

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Factor models summarize many comoving series into a few latent factors and forecast from those, which suits the strong common movement in macro panels.

Pass any model string below as Arm(model=...). Extra names an optional dependency, Scaling flags whether predictors should be standardized, and Tunable counts the hyperparameters the search space exposes.

Model string	Description	Input	Extra	Scaling	Recommended preprocessing	Tunable
far	Factor-augmented autoregression.	supervised	none	no	default	2
favar	FAVAR::FAVAR-aligned Bayesian factor-augmented VAR sampler.	supervised	none	no	default	2

Reference

• Models reference page for ModelSpec, ModelFit, and fit conventions.