finance - Plot issue (actual and fitted values) in factorAnalytics package in R -

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i moving first steps factoranalytics package. running factoranalytics v.2.0.30 (the latest version afaik) in r 3.3.1 (64bit) rstudio in windows.

i running code (taken of plot.tsfm):

library(factoranalytics) data(managers) fit.macro <- fittsfm(asset.names=colnames(managers[,(1:6)]),                      factor.names=colnames(managers[,(7:9)]),                      rf.name="us.3m.tr", data=managers)  range(index(managers))  plot(fit.macro, plot.single=true, asset.name="ham1", which=1)

the plot supposed show actual , fitted value of ham1 on period 1996-2006, have this:

actual , fitted:ham1

that is, graph shows actual values 1996 , no fitted values @ all. tried same instructions other time series included in same database , same issue. tried run same code rgui (to check if rstudio issue) did not help.

i appreciate suggestion

v2.0.33 latest version of factoranalytics. have version on machine , not able reproduce issue while running code. below attached plot got after running same code.

actual vs fitted: ham1

can try installing recent version of package , see if problem reproducible.


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