Karagul / ForecastingInflation
Forecasting Inflation in a data-rich environment: the benefits of machine learning methods
☆10Updated 6 years ago
Alternatives and similar repositories for ForecastingInflation:
Users that are interested in ForecastingInflation are comparing it to the libraries listed below
- ☆19Updated 2 years ago
- ☆11Updated 9 years ago
- R code for the IMF edX course on Macroeconomic Forecasting☆14Updated 9 years ago
- Code to replicate the main results in "The macroeconomic effects of oil supply news: Evidence from OPEC announcements", Känzig 2021☆14Updated last year
- Large t-Vector AutoRegressive models with volatility spillovers and networks. Code of the paper Barbaglia, Croux, Wilms (2020) "Volatilit…☆19Updated 4 years ago
- A package for shrinkage estimation of covariance matrices☆12Updated last year
- Trying to get "Large Time-Varying Parameter VAR" of Koop & Kurubillis (2013) done in R.☆22Updated 7 years ago
- Bayesian Inference for Global Vector Autoregressive (GVAR) and Global Vector Error Correction (GVEC) Models☆17Updated last year
- Bayesian SVARs with Sign, Zero, and Narrative Restrictions☆17Updated last month
- Code for "Methodological Uncertainty in Portfolio Sorts".☆17Updated 10 months ago
- Lexicon-based Sentiment Analysis for Economic and Financial Applications in R☆24Updated last year
- Dynamic factor models (DFM) in R. Easy estimation and new data contributions to changes in prediction.☆27Updated last year
- Accompaniment to nowcasting benchmark paper, illustrating how to estimate each of the methods examined in either R or Python.☆44Updated last year
- MF-BAVART model introduced in "Nowcasting in a Pandemic using Non-Parametric Mixed Frequency VARs"☆32Updated 6 months ago
- TVP panel data model featuring time-varying network dependence introduced in "Bayesian state-space modeling for analyzing heterogeneous n…☆12Updated 4 years ago
- State-Dependent Empirical Analysis: tools for state-dependent forecasts, impulse response functions, historical decomposition, and foreca…☆12Updated 2 years ago
- Key: time series analysis, forecasting of GDP growth, macroeconomic, Kalman-filtering techniques, and a dynamic factor model.☆11Updated 4 years ago
- Dynamic Factor Models for R☆33Updated last month
- Codes to replicate analysis in Baker & Gelbach (2020)☆11Updated 5 years ago
- Code and templates for Linzenich, J., and Meunier, B. (2024). "Nowcasting Made Easier: a Toolbox for Real-Time Predictions". Working Pape…☆40Updated last month
- packages for Peter Phillips and Zhentao Shi (2018): "Boosting the Hodrick-Prescott Filter"☆12Updated 2 years ago
- A simple, easy, and flexible way of estimating Bayesian VARs taking into consideration the pandemic period, as a Minnesota prior with tim…☆9Updated 10 months ago
- This repo has code to do primary data cleaning for Compustat / Crsp from WRDS☆19Updated 4 years ago
- Set of R functions for high-dimensional econometrics☆31Updated 5 years ago
- This is a read-only mirror of the CRAN R package repository. rumidas — Univariate GARCH-MIDAS, Double-Asymmetric GARCH-MIDAS and MEM-MI…☆11Updated last month
- Vector Autoregression augmented with deep learning.☆16Updated last year
- Conditional Autoregressive Value-at-Risk: all flavors of CAViaR.☆10Updated 7 years ago
- Diebold & Yilmaz method, DCC-Garch method on composite indicies. 2009-2019☆20Updated 4 years ago
- A repository to explore the concepts of applied econometrics in the context of financial time-series.☆35Updated 5 years ago
- R package for Bayesian Vector Autoregression☆32Updated 4 years ago