JustinMShea / neverhpfilterLinks
R package recreating econometric methods proposed in "Why You Should Never Use the Hodrick-Prescott Filter" by James Hamilton
☆16Updated 3 weeks ago
Alternatives and similar repositories for neverhpfilter
Users that are interested in neverhpfilter are comparing it to the libraries listed below
Sorting:
- R/C++ implementation of Bayes VAR models☆22Updated 5 years ago
- Dynamic Factor Models for R☆39Updated last month
- Functions for Bayesian inference of vector autoregressive and vector error correction models☆33Updated 11 months ago
- R package for Mixed-Frequency Bayesian VARs☆42Updated 4 years ago
- I analyze the interplay of three U.S. time series: unemployment, inflation and gross domestic product. The first cleans the data and inve…☆10Updated 5 years ago
- Bayesian Inference for Global Vector Autoregressive (GVAR) and Global Vector Error Correction (GVEC) Models☆17Updated 2 years ago
- Toolbox for the estimation of Bayesian Global Vector Autoregressions in R.☆31Updated 9 months ago
- Dynamic factor models (DFM) in R. Easy estimation and new data contributions to changes in prediction.☆29Updated 2 years ago
- Caliendo and Parro (2015) quantitative trade model in R.☆11Updated 9 months ago
- Dashboard: Macroeconomic Data of Brazil☆11Updated 2 years ago
- R package to estimate time-varying coefficient regressions☆19Updated 2 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
- Bayesian SVARs with Sign, Zero, and Narrative Restrictions☆21Updated 2 months ago
- Sparse regression of mixed-frequency VectorAutoregressions☆10Updated 3 years ago
- Set of R functions for high-dimensional econometrics☆37Updated 5 years ago
- packages for Peter Phillips and Zhentao Shi (2018): "Boosting the Hodrick-Prescott Filter"☆12Updated 2 years ago
- Leontief's Input-Output Model in R☆17Updated 2 weeks ago
- An R package for multivariate signal extraction☆13Updated last week
- R Package for data driven SVAR identification of impulse response functions☆49Updated 3 weeks ago
- MF-BAVART model introduced in "Nowcasting in a Pandemic using Non-Parametric Mixed Frequency VARs"☆34Updated 10 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
- Analysis of the Primiceri (REStud, 2005) model☆32Updated last year
- tsDyn☆35Updated 10 months ago
- Time Series And Econometric Modeling In R☆18Updated 3 months ago
- Multivariate Time Series Models: VAR, SVAR and SVEC☆45Updated 3 years ago
- Trying to get "Large Time-Varying Parameter VAR" of Koop & Kurubillis (2013) done in R.☆25Updated 7 years ago
- r package for bayesian VARs☆23Updated 7 years ago
- Time series forecasting with Lasso-type shrinkage methods☆13Updated last week
- Datasets used in the AEA 2018 Continuing Education "Machine Learming and Econometrics" (Athey and Imbens, 2018)☆12Updated 6 years ago
- R wrapper for nowcast_lstm Python library. Long short-term memory neural networks for economic nowcasting.☆13Updated last year