bsvars / bsvarSIGNsLinks
Bayesian SVARs with Sign, Zero, and Narrative Restrictions
☆21Updated 3 months ago
Alternatives and similar repositories for bsvarSIGNs
Users that are interested in bsvarSIGNs are comparing it to the libraries listed below
Sorting:
- Functions for Bayesian inference of vector autoregressive and vector error correction models☆33Updated last year
- Dynamic factor models (DFM) in R. Easy estimation and new data contributions to changes in prediction.☆29Updated 2 years ago
- Dynamic Factor Models for R☆39Updated last week
- TVP-QR model with time-varying scale parameter, proposed in "Modeling tail risks of inflation using unobserved component quantile regress…☆11Updated 3 years ago
- Bayesian Inference for Global Vector Autoregressive (GVAR) and Global Vector Error Correction (GVEC) Models☆17Updated 2 years ago
- Dashboard: Macroeconomic Data of Brazil☆11Updated 2 years ago
- Toolbox for the estimation of Bayesian Global Vector Autoregressions in R.☆31Updated last week
- R package for Mixed-Frequency Bayesian VARs☆42Updated 4 years ago
- I analyze the interplay of three U.S. time series: unemployment, inflation and gross domestic product. The first cleans the data and inve…☆10Updated 5 years ago
- Bayesian Estimation of Structural Vector Autoregressive Models☆54Updated last month
- R Package for data driven SVAR identification of impulse response functions☆49Updated last month
- Estimating VARs using sign restrictions in R☆21Updated 9 years ago
- State-Dependent Empirical Analysis: tools for state-dependent forecasts, impulse response functions, historical decomposition, and foreca…☆16Updated 2 years ago
- Analysis of the Primiceri (REStud, 2005) model☆32Updated last year
- MF-BAVART model introduced in "Nowcasting in a Pandemic using Non-Parametric Mixed Frequency VARs"☆35Updated 11 months ago
- R/C++ implementation of Bayes VAR models☆22Updated 5 years ago
- Sparse regression of mixed-frequency VectorAutoregressions☆10Updated 3 years ago
- Set of R functions for high-dimensional econometrics☆37Updated 5 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
- A package for shrinkage estimation of covariance matrices☆12Updated last year
- ☆23Updated 3 years ago
- R Implementation of the Time Varying Cointegration by Bierens and Martins 2010☆10Updated 9 years ago
- Toolkit for the estimation of hierarchical Bayesian vector autoregressions. Implements hierarchical prior selection for conjugate priors …☆57Updated 10 months ago
- MCMC estimation of Bayesian Vectorautoregressions☆11Updated last month
- R package recreating econometric methods proposed in "Why You Should Never Use the Hodrick-Prescott Filter" by James Hamilton☆16Updated last month
- ☆11Updated 10 years ago
- packages for Peter Phillips and Zhentao Shi (2018): "Boosting the Hodrick-Prescott Filter"☆12Updated 2 years ago
- Causal Inference in Observational Data with Unobserved Heterogeneity (Lecture Notes. Masters/PhD-level)☆31Updated last month
- Replication code for Addressing COVID-19 Outliers in BVARs with Stochastic Volatility“ by Carriero, Clark, Marcellino and Mertens (2021),…☆11Updated 2 years ago
- Vector Autoregression augmented with deep learning.☆16Updated last year