Marga8 / Granger-Causality-in-High-Dimensional-VARsLinks
This repo gather R functions to reproduce analyses on the paper: Hecq,A.,Margaritella,L.,Smeekes,S. (2019), "Granger Causality testing in High-Dimensional VARs: a Post-Double-Selection Procedure"
☆7Updated 5 years ago
Alternatives and similar repositories for Granger-Causality-in-High-Dimensional-VARs
Users that are interested in Granger-Causality-in-High-Dimensional-VARs are comparing it to the libraries listed below
Sorting:
- We investigate the connectedness of GDP growth risk over 12 OECD member countries. Understanding the Growth-at-Risk of GDP has been a pop…☆8Updated 5 years ago
- Matlab library for Time Varying Parameter Vector Auto Regressions with Stochastic Volatility (Bayesian solution)☆13Updated 7 years ago
- Trying to get "Large Time-Varying Parameter VAR" of Koop & Kurubillis (2013) done in R.☆24Updated 7 years ago
- Replication code for Addressing COVID-19 Outliers in BVARs with Stochastic Volatility“ by Carriero, Clark, Marcellino and Mertens (2021),…☆11Updated 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
- MATLAB code to replicate Koop and Korobilis (2014) A new index of financial conditions. European Economic Review☆20Updated 2 months ago
- Barcelona GSE Macroeconometrics Summer School 2018 course☆14Updated 7 years ago
- TVP VAR Workshop☆14Updated 5 years ago
- R Implementation of the Time Varying Cointegration by Bierens and Martins 2010☆10Updated 9 years ago
- MF-BAVART model introduced in "Nowcasting in a Pandemic using Non-Parametric Mixed Frequency VARs"☆34Updated 9 months ago
- Codes used to estimate a Dynamic Stochastic General Equilibrium (DSGE) model using Bayesian Estimation techniques.☆11Updated 5 years ago
- Matteo Iacoviello's personal webpage☆11Updated this week
- Code to compute Spillover Asymmetry Measure (SAM) introduced in Baruník, J., Kočenda, E. and Vácha, L., 2016. Asymmetric connectedness on…☆13Updated 6 years ago
- Large t-Vector AutoRegressive models with volatility spillovers and networks. Code of the paper Barbaglia, Croux, Wilms (2020) "Volatilit…☆19Updated 4 years ago
- A powerful & convenient package for a two-step estimation method of the Factor augmented VAR (FAVAR) model, which is mainly based on RATS…☆18Updated 11 months ago
- PhD 403: Empirical Asset Pricing☆27Updated 6 years ago
- Barcelona GSE Macroeconometrics Summer School 2018 course☆20Updated 6 years ago
- ☆14Updated 9 years ago
- CoVaR estimation via quantile regression☆27Updated 7 years 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
- Dynamic factor models (DFM) in R. Easy estimation and new data contributions to changes in prediction.☆28Updated 2 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 …☆26Updated last year
- R/C++ implementation of Bayes VAR models☆22Updated 5 years ago
- Granger causality testing in High Dimensional Vector Autoregressive Models☆16Updated last year
- The code for network autoregression model (NAR)☆10Updated 9 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 last year
- R package for Bayesian Vector Autoregression☆32Updated 5 years ago
- A set of routines that solve models with occasionally binding constraints using Dynare☆10Updated 4 years ago
- I use TVP-VAR methodology with a stochastic volatility model to investigate the forecasting performance on macroeconomic variables. In pa…☆11Updated 5 years ago
- Code to replicate the main results in "The macroeconomic effects of oil supply news: Evidence from OPEC announcements", Känzig 2021☆15Updated last year