MikeWolf007 / covShrinkageLinks
A package for shrinkage estimation of covariance matrices
☆12Updated last year
Alternatives and similar repositories for covShrinkage
Users that are interested in covShrinkage are comparing it to the libraries listed below
Sorting:
- Dynamic factor models (DFM) in R. Easy estimation and new data contributions to changes in prediction.☆28Updated 2 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☆21Updated last month
- MF-BAVART model introduced in "Nowcasting in a Pandemic using Non-Parametric Mixed Frequency VARs"☆34Updated 9 months ago
- State-Dependent Empirical Analysis: tools for state-dependent forecasts, impulse response functions, historical decomposition, and foreca…☆12Updated 2 years ago
- Trying to get "Large Time-Varying Parameter VAR" of Koop & Kurubillis (2013) done in R.☆24Updated 7 years ago
- R Implementation of the Time Varying Cointegration by Bierens and Martins 2010☆10Updated 9 years ago
- R/C++ implementation of Bayes VAR models☆22Updated 5 years ago
- Dynamic Factor Models for R☆39Updated last month
- ☆20Updated 3 years ago
- Factor-Based Imputation for Missing Data☆58Updated 6 months ago
- TVP panel data model featuring time-varying network dependence introduced in "Bayesian state-space modeling for analyzing heterogeneous n…☆13Updated 4 years ago
- Toolkit for the estimation of hierarchical Bayesian vector autoregressions. Implements hierarchical prior selection for conjugate priors …☆56Updated 8 months ago
- Functions for Bayesian inference of vector autoregressive and vector error correction models☆33Updated 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
- R package for Bayesian Vector Autoregression☆32Updated 5 years ago
- R package for Mixed-Frequency Bayesian VARs☆42Updated 4 years ago
- R Package for data driven SVAR identification of impulse response functions☆48Updated 2 years ago
- Analysis of the Primiceri (REStud, 2005) model☆32Updated 11 months ago
- Toolbox for the estimation of Bayesian Global Vector Autoregressions in R.☆29Updated 8 months ago
- ☆11Updated 10 years ago
- Functions and replication files for Peter Phillips and Zhentao Shi (2021): "Boosting: Why You Can Use the HP Filter"☆30Updated 2 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
- Set of R functions for high-dimensional econometrics☆36Updated 5 years ago
- Repository for GARCH tutorial paper in RAC☆31Updated 4 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
- MATLAB code to replicate Koop and Korobilis (2014) A new index of financial conditions. European Economic Review☆20Updated 2 months ago
- An R package for using mixed-frequency GARCH models