AndersAsa / IMF_Macro_Forecasting_RLinks
R code for the IMF edX course on Macroeconomic Forecasting
☆17Updated 10 years ago
Alternatives and similar repositories for IMF_Macro_Forecasting_R
Users that are interested in IMF_Macro_Forecasting_R are comparing it to the libraries listed below
Sorting:
- Large t-Vector AutoRegressive models with volatility spillovers and networks. Code of the paper Barbaglia, Croux, Wilms (2020) "Volatilit…☆19Updated 4 years ago
- Bayesian Inference for Global Vector Autoregressive (GVAR) and Global Vector Error Correction (GVEC) Models☆17Updated 2 years ago
- Trying to get "Large Time-Varying Parameter VAR" of Koop & Kurubillis (2013) done in R.☆26Updated 8 years ago
- Dynamic factor models (DFM) in R. Easy estimation and new data contributions to changes in prediction.☆29Updated 2 years ago
- Macro with Python☆54Updated 4 years ago
- R package for Bayesian Vector Autoregression☆31Updated 5 years ago
- Lexicon-based Sentiment Analysis for Economic and Financial Applications in R☆24Updated last year
- Code to replicate the main results in "The macroeconomic effects of oil supply news: Evidence from OPEC announcements", Känzig 2021☆16Updated 2 years ago
- Experimental tools (R) for Big Data econometrics nowcasting and early estimates☆31Updated 5 years ago
- Repository for GARCH tutorial paper in RAC☆31Updated 5 years ago
- TVP panel data model featuring time-varying network dependence introduced in "Bayesian state-space modeling for analyzing heterogeneous n…☆13Updated 4 years ago
- Code for "Methodological Uncertainty in Portfolio Sorts".☆20Updated last year
- An R package for using mixed-frequency GARCH models☆74Updated 2 weeks ago
- R package for Dynamic Factor Models with mixed frequencies and unbalanced panel☆102Updated 3 years ago
- Factor-Based Imputation for Missing Data☆61Updated last year
- This repo contains the code to replicate the analyses in Baker, Larcker, Wang.☆50Updated 4 years ago
- Codes to replicate analysis in Baker & Gelbach (2020)☆11Updated 5 years ago
- ☆23Updated 3 years ago
- A package for shrinkage estimation of covariance matrices☆14Updated last year
- Diebold & Yilmaz method, DCC-Garch method on composite indicies. 2009-2019☆23Updated 5 years ago
- Accompaniment to nowcasting benchmark paper, illustrating how to estimate each of the methods examined in either R or Python.☆60Updated 2 years ago
- We investigate the connectedness of GDP growth risk over 12 OECD member countries. Understanding the Growth-at-Risk of GDP has been a pop…☆10Updated 5 years ago
- Set of R functions for high-dimensional econometrics☆37Updated 5 years ago
- MF-BAVART model introduced in "Nowcasting in a Pandemic using Non-Parametric Mixed Frequency VARs"☆35Updated 3 months ago
- TVP-QR model with time-varying scale parameter, proposed in "Modeling tail risks of inflation using unobserved component quantile regress…☆11Updated 3 years ago
- PhD 403: Empirical Asset Pricing☆28Updated 7 years ago
- Replication code for Addressing COVID-19 Outliers in BVARs with Stochastic Volatility“ by Carriero, Clark, Marcellino and Mertens (2021),…☆11Updated 3 years ago
- A curated list of Vector Autoregression resources☆62Updated 2 years ago
- Code and templates for Linzenich, J., and Meunier, B. (2024). "Nowcasting Made Easier: a Toolbox for Real-Time Predictions". Working Pape…☆52Updated 6 months ago
- midasml package is dedicated to run predictive high-dimensional mixed data sampling models☆44Updated 2 years ago