chenyang45 / BoostedHP
packages for Peter Phillips and Zhentao Shi (2018): "Boosting the Hodrick-Prescott Filter"
☆12Updated 2 years ago
Alternatives and similar repositories for BoostedHP:
Users that are interested in BoostedHP are comparing it to the libraries listed below
- Bayesian Inference for Global Vector Autoregressive (GVAR) and Global Vector Error Correction (GVEC) Models☆14Updated last year
- R/C++ implementation of Bayes VAR models☆17Updated 5 years ago
- R wrapper for nowcast_lstm Python library. Long short-term memory neural networks for economic nowcasting.☆12Updated 9 months ago
- Dynamic Factor Models for R☆31Updated 4 months ago
- R Implementation of the Time Varying Cointegration by Bierens and Martins 2010☆10Updated 8 years ago
- Time series forecasting with Lasso-type shrinkage methods☆13Updated 4 months ago
- Out-Of-Sample Time Series Forecasting: OOS introduces a comprehensive framework for time series forecasting with traditional econometric …☆9Updated 3 years ago
- Dynamic factor models (DFM) in R. Easy estimation and new data contributions to changes in prediction.☆26Updated last year
- TVP panel data model featuring time-varying network dependence introduced in "Bayesian state-space modeling for analyzing heterogeneous n…☆11Updated 3 years ago
- Partial re-write of the R package stochvol to allow for asymmetry (leverage).☆15Updated 3 months ago
- Bayesian SVARs with Sign, Zero, and Narrative Restrictions☆13Updated 2 weeks ago
- Functions and replication files for Peter Phillips and Zhentao Shi (2021): "Boosting: Why You Can Use the HP Filter"☆26Updated 2 years ago
- ☆9Updated 2 weeks ago
- Estimation and forecasting of VAR model with the Lasso☆28Updated last year
- R package to estimate time-varying coefficient regressions☆19Updated last year
- Expected Shortfall Backtesting☆12Updated last year
- tsDyn☆34Updated 3 months ago
- Leontief's Input-Output Model in R☆14Updated 8 months ago
- Functions for Bayesian inference of vector autoregressive and vector error correction models☆31Updated 4 months ago
- Toolbox for the estimation of Bayesian Global Vector Autoregressions in R.☆27Updated 2 months ago
- A package for shrinkage estimation of covariance matrices☆12Updated last year
- MF-BAVART model introduced in "Nowcasting in a Pandemic using Non-Parametric Mixed Frequency VARs"☆30Updated 3 months ago
- R package for Mixed-Frequency Bayesian VARs☆38Updated 3 years ago
- An R-package for obtaining real-time data from ALFRED database☆19Updated last year
- statespacer: State Space Modelling in R☆15Updated 2 years ago
- an R package for testing, estimating and evaluating the Panel Smooth Transition Regression (PSTR) model.☆18Updated last year
- Trying to get "Large Time-Varying Parameter VAR" of Koop & Kurubillis (2013) done in R.☆22Updated 7 years ago
- Large t-Vector AutoRegressive models with volatility spillovers and networks. Code of the paper Barbaglia, Croux, Wilms (2020) "Volatilit…☆19Updated 3 years ago
- Conditional Autoregressive Value-at-Risk: all flavors of CAViaR.☆10Updated 7 years ago
- Granger causality testing in High Dimensional Vector Autoregressive Models☆15Updated 8 months ago