R package recreating econometric methods proposed in "Why You Should Never Use the Hodrick-Prescott Filter" by James Hamilton
☆21Aug 21, 2025Updated last year
Alternatives and similar repositories for neverhpfilter
Users that are interested in neverhpfilter are comparing it to the libraries listed below. We may earn a commission when you buy through links labeled 'Ad' on this page.
Sorting:
- R Implementation of the Time Varying Cointegration by Bierens and Martins 2010☆10Apr 14, 2016Updated 10 years ago
- Dynamic factor models (DFM) in R. Easy estimation and new data contributions to changes in prediction.☆28May 23, 2023Updated 3 years ago
- Translated notes from Matlab to Python for Dave Backus's Macrofoundations class.☆15Oct 11, 2017Updated 9 years ago
- Dynamic Factor Models for R☆48Jun 18, 2026Updated 4 months ago
- Set of R functions for high-dimensional econometrics☆39Apr 23, 2020Updated 6 years ago
- End-to-end encrypted email - Proton Mail • AdSpecial offer: 40% Off Yearly / 80% Off First Month. All Proton services are open source and independently audited for security.
- 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
- getSymbols() reboot☆17Oct 17, 2024Updated 2 years ago
- Code to replicate the main results in "The macroeconomic effects of oil supply news: Evidence from OPEC announcements", Känzig 2021☆23Sep 20, 2023Updated 3 years ago
- Code for Vector Quantile Regression (Carlier, Chernozhukov, Galichon, Annals of Statistics, 2016)☆17Sep 2, 2021Updated 5 years ago
- Matlab library for Time Varying Parameter Vector Auto Regressions with Stochastic Volatility (Bayesian solution)☆14Jan 11, 2018Updated 8 years ago
- Sparse regression of mixed-frequency VectorAutoregressions☆10May 11, 2022Updated 4 years ago
- Instrumental Variable Quantile Regression☆16Jul 17, 2023Updated 3 years ago
- Data Science for Economists and Other Animals☆30Aug 3, 2021Updated 5 years ago
- Toolbox for the estimation of Bayesian Global Vector Autoregressions in R.☆35Oct 9, 2026Updated 3 weeks ago
- Wordpress hosting with auto-scaling - Free Trial Offer • AdFully Managed hosting for WordPress and WooCommerce businesses that need reliable, auto-scalable performance. Cloudways SafeUpdates now available.
- Replicates the script for generating the Wu Xia shadow rate term structure model in python☆10Jan 12, 2016Updated 10 years ago
- R code for the IMF edX course on Macroeconomic Forecasting☆18Jan 29, 2016Updated 10 years ago
- Dashboard: Macroeconomic Data of Brazil☆12Dec 31, 2022Updated 3 years ago
- Replication files for Safety, Liquidity, and the Natural Rate of Interest by Marco del Negro, Domenico Giannone, Marc Giannoni, and Andre…☆36Sep 1, 2026Updated last month
- State-Dependent Empirical Analysis: tools for state-dependent forecasts, impulse response functions, historical decomposition, and foreca…☆18Oct 13, 2026Updated 2 weeks ago
- ☆10Jul 7, 2026Updated 3 months ago
- Code for Chinn, M. D., Meunier, B., Stumpner, S. (2023). "Nowcasting World Trade with Machine Learning: a Three-Step Approach", NBER Work…☆13Dec 9, 2025Updated 10 months ago
- Matlab implementation of "Iterated Cumulative Sum of Squares for retrospective detection of changes of variance"☆11Aug 20, 2013Updated 13 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
- Serverless GPU API endpoints on Runpod - Get Bonus Credits • AdSkip the infrastructure headaches. Auto-scaling, pay-as-you-go, no-ops approach lets you focus on innovating your application.
- Toolkit for the estimation of hierarchical Bayesian vector autoregressions. Implements hierarchical prior selection for conjugate priors …☆59Oct 21, 2026Updated last week
- A simple, easy, and flexible way of estimating Bayesian VARs taking into consideration the pandemic period, as a Minnesota prior with tim…☆11Aug 11, 2026Updated 2 months ago
- r package for bayesian VARs☆23Dec 12, 2017Updated 8 years ago
- Trying to get "Large Time-Varying Parameter VAR" of Koop & Kurubillis (2013) done in R.☆27Jan 25, 2018Updated 8 years ago
- Experimental tools (R) for Big Data econometrics nowcasting and early estimates☆33Sep 9, 2020Updated 6 years ago
- R codes to "An Advanced Guide to Trade Policy Analysis: The Structural Gravity Model"☆18Mar 21, 2022Updated 4 years ago
- TVP panel data model featuring time-varying network dependence introduced in "Bayesian state-space modeling for analyzing heterogeneous n…☆15Apr 17, 2021Updated 5 years ago
- statespacer: State Space Modelling in R☆17Jan 27, 2023Updated 3 years ago
- Repositorio de GitHub con scripts de visualizaciones de datos en R. Incluye gráficos de barras, líneas, dispersión, anillos, mapas, árbol…☆12May 6, 2026Updated 5 months ago
- Serverless GPU API endpoints on Runpod - Get Bonus Credits • AdSkip the infrastructure headaches. Auto-scaling, pay-as-you-go, no-ops approach lets you focus on innovating your application.
- TVP-QR model with time-varying scale parameter, proposed in "Modeling tail risks of inflation using unobserved component quantile regress…☆11Sep 30, 2026Updated last month
- Code that replicates the Bayesian Compressed Vector Autoregressive (BCVAR) model in Koop, G., Korobilis, D. and Pettenuzzo, D. (2019). “B…☆10Jun 6, 2021Updated 5 years ago
- R package for Mixed-Frequency Bayesian VARs☆46May 11, 2021Updated 5 years ago
- Contains Python code and files used to estimate shadow rate using Krippner's K-ANSM(2) with an estimated lower bound term structure model☆17Mar 21, 2021Updated 5 years ago
- Mixed Frequency State Space toolbox☆17Jan 29, 2024Updated 2 years ago
- Inference in SVMA models identified by external instruments/proxies☆20Dec 21, 2022Updated 3 years ago
- ☆13Apr 16, 2021Updated 5 years ago