SebKrantz / dfms
Dynamic Factor Models for R
☆31Updated 4 months ago
Alternatives and similar repositories for dfms:
Users that are interested in dfms are comparing it to the libraries listed below
- Dynamic factor models (DFM) in R. Easy estimation and new data contributions to changes in prediction.☆26Updated last year
- Functions for Bayesian inference of vector autoregressive and vector error correction models☆31Updated 4 months ago
- R/C++ implementation of Bayes VAR models☆17Updated 5 years ago
- Analysis of the Primiceri (REStud, 2005) model☆29Updated 4 months ago
- Estimating VARs using sign restrictions in R☆19Updated 8 years ago
- R package for Bayesian Vector Autoregression☆30Updated 4 years ago
- Toolbox for the estimation of Bayesian Global Vector Autoregressions in R.☆27Updated last month
- Set of R functions for high-dimensional econometrics☆31Updated 4 years ago
- R Package for data driven SVAR identification of impulse response functions☆46Updated 2 years ago
- R package for Mixed-Frequency Bayesian VARs☆38Updated 3 years ago
- Bayesian SVARs with Sign, Zero, and Narrative Restrictions☆13Updated this week
- MF-BAVART model introduced in "Nowcasting in a Pandemic using Non-Parametric Mixed Frequency VARs"☆30Updated 3 months ago
- Bayesian Inference for Global Vector Autoregressive (GVAR) and Global Vector Error Correction (GVEC) Models☆14Updated last year
- Penalized Poisson Pseudo Maximum Likelihood☆12Updated last year
- tsDyn☆34Updated 3 months ago
- ☆44Updated last year
- Datasets used in the AEA 2018 Continuing Education "Machine Learming and Econometrics" (Athey and Imbens, 2018)☆12Updated 5 years ago
- Simple function to adjust for covariates in synthdid☆16Updated 2 years ago
- This repo contains the code to replicate the analyses in Baker, Larcker, Wang.☆47Updated 3 years ago
- Toolkit for the estimation of hierarchical Bayesian vector autoregressions. Implements hierarchical prior selection for conjugate priors …☆51Updated 2 months ago
- r package for bayesian VARs☆22Updated 7 years ago
- R function to compute simultaneous sup-t confidence bands following Montiel Olea and Plagborg-Møller (2019)☆9Updated last year
- Code for DID chapter☆11Updated last year
- Treatment Effects in Interactive Fixed Effects Model☆16Updated last week
- Estimation in sharp Difference-in-Difference designs with multiple groups and periods☆20Updated 4 years ago
- R package containing a host of datasets useful for economic research. Complete with raw data and cleaning functions.☆33Updated 7 years ago
- Multivariate Time Series Models: VAR, SVAR and SVEC☆43Updated 2 years ago
- Bayesian Estimation of Structural Vector Autoregressive Models☆43Updated this week
- This repo has code to do primary data cleaning for Compustat / Crsp from WRDS☆19Updated 4 years ago
- This is the replication code for the paper: Heimberger, Philipp (2022): "Does public debt reduce economic growth?", Journal of Economic S…☆14Updated 2 years ago