Nowcasting: An R Package for Predicting Economic Variables Using Dynamic Factor Models

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.