XueningZhu / NAR_oldLinks
The code for network autoregression model (NAR)
☆10Updated 9 years ago
Alternatives and similar repositories for NAR_old
Users that are interested in NAR_old are comparing it to the libraries listed below
Sorting:
- Barcelona GSE Macroeconometrics Summer School 2018 course☆15Updated 7 years ago
- Trying to get "Large Time-Varying Parameter VAR" of Koop & Kurubillis (2013) done in R.☆25Updated 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
- Code to compute Spillover Asymmetry Measure (SAM) introduced in Baruník, J., Kočenda, E. and Vácha, L., 2016. Asymmetric connectedness on…☆14Updated 6 years ago
- Matlab library for Time Varying Parameter Vector Auto Regressions with Stochastic Volatility (Bayesian solution)☆13Updated 7 years ago
- MF-BAVART model introduced in "Nowcasting in a Pandemic using Non-Parametric Mixed Frequency VARs"☆34Updated last year
- Barcelona GSE Macroeconometrics Summer School 2018 courses☆14Updated 7 years ago
- Barcelona GSE Macroeconometrics Summer School 2018 course☆21Updated 7 years ago
- Analysis of the Primiceri (REStud, 2005) model☆32Updated last year
- midasml package is dedicated to run predictive high-dimensional mixed data sampling models☆42Updated 2 years ago
- Dynare Summer School 2018 material☆15Updated 7 years ago
- R/C++ implementation of Bayes VAR models☆22Updated 5 years ago
- The replication data and files for Liangjun Su, Zhentao Shi and Peter Phillips (2016, Econometrica): “Identifying Latent Structures in Pa…☆24Updated 9 months ago
- R package for Bayesian Vector Autoregression☆31Updated 5 years ago
- R Implementation of the Time Varying Cointegration by Bierens and Martins 2010☆10Updated 9 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
- ANN-based Expectations Algorithm applied to the Neoclassical Investment Model☆10Updated 2 years ago
- Matlab code for"Functional Approximation of Impulse Responses" with Regis Barnichon, Journal of Monetary Economics, forthcoming☆12Updated 3 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
- Dynamic factor models (DFM) in R. Easy estimation and new data contributions to changes in prediction.☆29Updated 2 years ago
- Paul Söderlind's finance/econ codes☆18Updated last year
- Python DSGE models, Euler Equation, Math review (matrix, calc), Cash advance model☆12Updated 4 years ago
- ☆16Updated 4 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
- Macroeconomic Foundations for Asset Prices, an undergrad course at NYU☆15Updated 9 years ago
- Translated notes from Matlab to Python for Dave Backus's Macrofoundations class.☆15Updated 8 years ago
- Sparse regression of mixed-frequency VectorAutoregressions☆10Updated 3 years ago
- Estimation and forecasting of VAR model with the Lasso☆32Updated 5 months ago
- Python code for Robust Identification of Investor Beliefs☆14Updated 4 years ago
- Solving models with numerical methods (economics)☆13Updated 2 years ago