XueningZhu / NAR
☆9Updated 4 years ago
Alternatives and similar repositories for NAR:
Users that are interested in NAR are comparing it to the libraries listed below
- Time series forecasting with Lasso-type shrinkage methods☆13Updated 7 months ago
- Granger causality testing in High Dimensional Vector Autoregressive Models☆15Updated 11 months ago
- Matlab library for Time Varying Parameter Vector Auto Regressions with Stochastic Volatility (Bayesian solution)☆11Updated 7 years ago
- R Implementation of the Time Varying Cointegration by Bierens and Martins 2010☆10Updated 9 years ago
- TVP panel data model featuring time-varying network dependence introduced in "Bayesian state-space modeling for analyzing heterogeneous n…☆12Updated 4 years ago
- The code for network autoregression model (NAR)☆10Updated 8 years ago
- R/C++ implementation of Bayes VAR models☆17Updated 5 years ago
- Dynamic factor models (DFM) in R. Easy estimation and new data contributions to changes in prediction.☆27Updated last year
- MF-BAVART model introduced in "Nowcasting in a Pandemic using Non-Parametric Mixed Frequency VARs"☆32Updated 6 months ago
- Dynamic Factor Models for R☆33Updated last month
- ☆11Updated 2 months ago
- Bayesian Inference for Global Vector Autoregressive (GVAR) and Global Vector Error Correction (GVEC) Models☆16Updated last year
- Estimation and forecasting of VAR model with the Lasso☆28Updated last year
- Trying to get "Large Time-Varying Parameter VAR" of Koop & Kurubillis (2013) done in R.☆22Updated 7 years ago
- CoVaR estimation via quantile regression☆26Updated 7 years ago
- Analysis of the Primiceri (REStud, 2005) model☆31Updated 7 months ago
- Large t-Vector AutoRegressive models with volatility spillovers and networks. Code of the paper Barbaglia, Croux, Wilms (2020) "Volatilit…☆19Updated 4 years ago
- R package for Bayesian Vector Autoregression☆32Updated 4 years ago
- Leontief's Input-Output Model in R☆14Updated 10 months ago
- An R package for multivariate signal extraction☆13Updated 5 months ago
- Julia codes in "High-dimensional vector autoregressive time series modeling via tensor decomposition"☆13Updated last year
- Functions for Bayesian inference of vector autoregressive and vector error correction models☆34Updated 6 months ago
- packages for Peter Phillips and Zhentao Shi (2018): "Boosting the Hodrick-Prescott Filter"☆12Updated 2 years ago
- Conditional Autoregressive Value-at-Risk: all flavors of CAViaR.☆10Updated 7 years ago
- TENET: Tail-Event driven NETwork Risk☆43Updated 3 months ago
- ☆11Updated 9 years ago
- Collection of lecture notes and excercises for a course "Machine Learning in Econometrics"☆22Updated 8 years ago
- Systemic Risk - CoVaR☆13Updated 4 years ago
- Machine Learning for Economics☆19Updated last year
- Functions and replication files for Peter Phillips and Zhentao Shi (2021): "Boosting: Why You Can Use the HP Filter"☆28Updated 2 years ago