Multivariate Direct Filter Approach: R-Package on Github

The so-called Multivariate Direct Filter Approach, MDFA, is my workhorse for all recent and current (and likely future) research projects in the context of economic (macro/finance) SEF (signal extraction and forecasting) applications. One can access the MDFA-package on Github.


Simple loading:

library(devtools)
# Load MDFA package from github
devtools::install_github("wiaidp/MDFA")
# MDFA package
library(MDFA)
Sample (R-) code for playing with the package will follow.
  • A tutorial on univariate and bivariate filtering, based on the mean-square error norm, is proposed in 1 .

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