R package recreating econometric methods proposed in "Why You Should Never Use the Hodrick-Prescott Filter" by James Hamilton
☆21Aug 21, 2025Updated 7 months ago
Alternatives and similar repositories for neverhpfilter
Users that are interested in neverhpfilter are comparing it to the libraries listed below
Sorting:
- R Implementation of the Time Varying Cointegration by Bierens and Martins 2010☆10Apr 14, 2016Updated 9 years ago
- packages for Peter Phillips and Zhentao Shi (2018): "Boosting the Hodrick-Prescott Filter"☆12Nov 2, 2022Updated 3 years ago
- Translated notes from Matlab to Python for Dave Backus's Macrofoundations class.☆15Oct 11, 2017Updated 8 years ago
- Functions and replication files for Peter Phillips and Zhentao Shi (2021): "Boosting: Why You Can Use the HP Filter"☆31Jan 15, 2023Updated 3 years ago
- Dynamic factor models (DFM) in R. Easy estimation and new data contributions to changes in prediction.☆30May 23, 2023Updated 2 years ago
- Data Science for Economists and Other Animals☆29Aug 3, 2021Updated 4 years ago
- Sparse regression of mixed-frequency VectorAutoregressions☆10May 11, 2022Updated 3 years ago
- getSymbols() reboot☆17Oct 17, 2024Updated last year
- R code for the IMF edX course on Macroeconomic Forecasting☆17Jan 29, 2016Updated 10 years ago
- Set of R functions for high-dimensional econometrics☆36Apr 23, 2020Updated 5 years ago
- Dashboard: Macroeconomic Data of Brazil☆11Dec 31, 2022Updated 3 years ago
- ☆10Apr 6, 2023Updated 2 years ago
- Replication files for Safety, Liquidity, and the Natural Rate of Interest by Marco del Negro, Domenico Giannone, Marc Giannoni, and Andre…☆35Jul 17, 2024Updated last year
- Mixed Frequency State Space toolbox☆17Jan 29, 2024Updated 2 years ago
- Trying to get "Large Time-Varying Parameter VAR" of Koop & Kurubillis (2013) done in R.☆27Jan 25, 2018Updated 8 years ago
- ☆12Apr 16, 2021Updated 4 years ago
- Python DSGE models, Euler Equation, Math review (matrix, calc), Cash advance model☆12Feb 11, 2021Updated 5 years ago
- Toolbox for the estimation of Bayesian Global Vector Autoregressions in R.☆32Jan 3, 2026Updated 2 months ago
- ☆53Dec 8, 2025Updated 3 months ago
- MacroEconomic Expectations Data in R using the Central Bank of Brazil API☆10Aug 12, 2022Updated 3 years ago
- Inference in SVMA models identified by external instruments/proxies☆18Dec 21, 2022Updated 3 years ago
- Dynamic Factor Models for R☆44Feb 7, 2026Updated last month
- Repositorio de GitHub con scripts de visualizaciones de datos en R. Incluye gráficos de barras, líneas, dispersión, anillos, mapas, árbol…☆11May 10, 2025Updated 10 months ago
- Course website for Quantitative Methods for Monetary Economics☆10Sep 4, 2019Updated 6 years ago
- Toolkit for the estimation of hierarchical Bayesian vector autoregressions. Implements hierarchical prior selection for conjugate priors …☆57Nov 12, 2024Updated last year
- MATLAB code to replicate Koop and Korobilis (2014) A new index of financial conditions. European Economic Review☆22Jun 4, 2025Updated 9 months ago
- Replication code for simulating and estimation by GMM of DSGE models with higher-order statistics☆11Apr 8, 2022Updated 3 years ago
- I use TVP-VAR methodology with a stochastic volatility model to investigate the forecasting performance on macroeconomic variables. In pa…☆11Nov 17, 2019Updated 6 years ago
- R package for mixed frequency time series data analysis.☆82Apr 7, 2025Updated 11 months ago
- TVP panel data model featuring time-varying network dependence introduced in "Bayesian state-space modeling for analyzing heterogeneous n…☆13Apr 17, 2021Updated 4 years ago
- R/C++ implementation of Bayes VAR models☆21Nov 12, 2019Updated 6 years ago
- A MATLAB toolbox for exporting publication quality figures☆13Nov 10, 2016Updated 9 years ago
- Matlab code for"Functional Approximation of Impulse Responses" with Regis Barnichon, Journal of Monetary Economics, forthcoming☆15Dec 21, 2021Updated 4 years ago
- Efficient Bayesian estimation for GARCH-type models via Sequential Monte Carlo☆10Jun 11, 2019Updated 6 years ago
- This repository replicates the figures from the 3rd edition of the book "Recursive Macroeconomic Theory" by Lars Ljungqvist and Thomas J.…☆12Feb 9, 2016Updated 10 years ago
- Instrumental Variable Quantile Regression☆12Jul 17, 2023Updated 2 years ago
- Matlab library for Time Varying Parameter Vector Auto Regressions with Stochastic Volatility (Bayesian solution)☆13Jan 11, 2018Updated 8 years ago
- Barcelona GSE Macroeconometrics Summer School 2018 courses☆14Jul 3, 2018Updated 7 years ago
- Experimental tools (R) for Big Data econometrics nowcasting and early estimates☆31Sep 9, 2020Updated 5 years ago