Karagul / ForecastingInflation
Forecasting Inflation in a data-rich environment: the benefits of machine learning methods
☆10Updated 5 years ago
Alternatives and similar repositories for ForecastingInflation:
Users that are interested in ForecastingInflation are comparing it to the libraries listed below
- ☆18Updated 2 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
- Accompaniment to nowcasting benchmark paper, illustrating how to estimate each of the methods examined in either R or Python.☆43Updated last year
- Dynamic factor models (DFM) in R. Easy estimation and new data contributions to changes in prediction.☆26Updated last year
- R code for the IMF edX course on Macroeconomic Forecasting☆14Updated 9 years ago
- ☆10Updated 9 years ago
- Trying to get "Large Time-Varying Parameter VAR" of Koop & Kurubillis (2013) done in R.☆21Updated 7 years ago
- Large t-Vector AutoRegressive models with volatility spillovers and networks. Code of the paper Barbaglia, Croux, Wilms (2020) "Volatilit…☆19Updated 3 years ago
- Bayesian Inference for Global Vector Autoregressive (GVAR) and Global Vector Error Correction (GVEC) Models☆14Updated last year
- Code for "Methodological Uncertainty in Portfolio Sorts".☆17Updated 7 months ago
- Code to quickly process and generate various data from the intraday TRACE corporate bond data from WRDS.☆47Updated 3 months ago
- Code and templates for Linzenich, J., and Meunier, B. (2024). "Nowcasting Made Easier: a Toolbox for Real-Time Predictions". Working Pape…☆34Updated 3 weeks ago
- R package for Bayesian Vector Autoregression☆30Updated 4 years ago
- Bayesian SVARs with Sign, Zero, and Narrative Restrictions☆13Updated this week
- GIRFs for threshold VARs from the R tsDyn package☆7Updated 2 years ago
- TVP panel data model featuring time-varying network dependence introduced in "Bayesian state-space modeling for analyzing heterogeneous n…☆10Updated 3 years ago
- Codes to replicate analysis in Baker & Gelbach (2020)☆11Updated 4 years ago
- RBC Model Jupyter Notebook☆10Updated 5 years ago
- This code show the SVAR results from the paper: "Lutz Kilian, 2009. "Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply …☆24Updated last year
- Key: time series analysis, forecasting of GDP growth, macroeconomic, Kalman-filtering techniques, and a dynamic factor model.☆10Updated 4 years ago
- Set of R functions for high-dimensional econometrics☆31Updated 4 years ago
- Dynamic Factor Models for R☆31Updated 4 months ago
- MF-BAVART model introduced in "Nowcasting in a Pandemic using Non-Parametric Mixed Frequency VARs"☆30Updated 3 months ago
- Official Code Repo for Paper "Regularized estimation of high-dimensional FAVAR models" in JMLR, 2020☆8Updated 11 months ago
- Implementation of basic macro models in various programming languages☆11Updated 2 years ago
- Estimation and forecasting of VAR model with the Lasso☆27Updated last year
- Lexicon-based Sentiment Analysis for Economic and Financial Applications in R☆23Updated 10 months ago
- This repo contains the code to replicate the analyses in Baker, Larcker, Wang.☆47Updated 3 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…☆10Updated 11 months ago
- TENET: Tail-Event driven NETwork Risk☆38Updated this week