Alternatives and similar repositories for BoostedHP:

Users that are interested in BoostedHP are comparing it to the libraries listed below

• GediminasB / bayesVAR_TVP
  R/C++ implementation of Bayes VAR models
  ☆18Updated 5 years ago
• tylerJPike / sovereign
  State-Dependent Empirical Analysis: tools for state-dependent forecasts, impulse response functions, historical decomposition, and foreca…
  ☆12Updated 2 years ago
• SebKrantz / dfms
  Dynamic Factor Models for R
  ☆35Updated last month
• hannes101 / TimeVaryingCointegration
  R Implementation of the Time Varying Cointegration by Bierens and Martins 2010
  ☆10Updated 9 years ago
• dhopp1 / nowcastDFM
  Dynamic factor models (DFM) in R. Easy estimation and new data contributions to changes in prediction.
  ☆27Updated last year
• zhan-gao / LasForecast
  Time series forecasting with Lasso-type shrinkage methods
  ☆13Updated 7 months ago
• gregorkastner / stochvol
  Partial re-write of the R package stochvol to allow for asymmetry (leverage).
  ☆17Updated 6 months ago
• franzmohr / bgvars
  Bayesian Inference for Global Vector Autoregressive (GVAR) and Global Vector Error Correction (GVEC) Models
  ☆17Updated last year
• dhopp1 / nowcastLSTM
  R wrapper for nowcast_lstm Python library. Long short-term memory neural networks for economic nowcasting.
  ☆13Updated last year
• bsvars / bsvarSIGNs
  Bayesian SVARs with Sign, Zero, and Narrative Restrictions
  ☆17Updated last month
• mpfarrho / tvp-network-panel
  TVP panel data model featuring time-varying network dependence introduced in "Bayesian state-space modeling for analyzing heterogeneous n…
  ☆12Updated 4 years ago
• mboeck11 / BGVAR
  Toolbox for the estimation of Bayesian Global Vector Autoregressions in R.
  ☆29Updated 4 months ago
• mpiktas / midasr-user-guide
  ☆11Updated 9 years ago
• esmucler / odpc
  This package provides functions for computing One-Sided Dynamic Principal Components, a novel multivariate time series dimension reductio…
  ☆9Updated last year
• icasas / tvReg
  R package to estimate time-varying coefficient regressions
  ☆19Updated last year
• tylerJPike / OOS
  Out-Of-Sample Time Series Forecasting: OOS introduces a comprehensive framework for time series forecasting with traditional econometric …
  ☆10Updated 4 years ago
• franzmohr / bvartools
  Functions for Bayesian inference of vector autoregressive and vector error correction models
  ☆34Updated 7 months ago
• groditi / blsR
  BLS API V2 interface
  ☆14Updated last year
• mpfarrho / mf-bavart
  MF-BAVART model introduced in "Nowcasting in a Pandemic using Non-Parametric Mixed Frequency VARs"
  ☆32Updated 6 months ago
• MikeWolf007 / covShrinkage
  A package for shrinkage estimation of covariance matrices
  ☆12Updated last year
• JustinMShea / neverhpfilter
  R package recreating econometric methods proposed in "Why You Should Never Use the Hodrick-Prescott Filter" by James Hamilton
  ☆15Updated 2 years ago
• Marga8 / HDGCvar
  Granger causality testing in High Dimensional Vector Autoregressive Models
  ☆15Updated 11 months ago
• ankargren / mfbvar
  R package for Mixed-Frequency Bayesian VARs
  ☆40Updated 3 years ago
• BayerSe / esback
  Expected Shortfall Backtesting
  ☆12Updated last year
• FK83 / bvarsv
  Analysis of the Primiceri (REStud, 2005) model
  ☆31Updated 8 months ago
• schoulten / macroview
  Dashboard: Macroeconomic Data of Brazil
  ☆11Updated 2 years ago
• lucabarbaglia / t-VAR
  Large t-Vector AutoRegressive models with volatility spillovers and networks. Code of the paper Barbaglia, Croux, Wilms (2020) "Volatilit…
  ☆19Updated 4 years ago
• DylanB95 / statespacer
  statespacer: State Space Modelling in R
  ☆15Updated 2 years ago
• zedtaha / nardl
  nardl:An R package to estimate the nonlinear cointegrating autoregressive distributed lag model
  ☆15Updated 3 years ago
• zhentaoshi / Boosted_HP_filter
  Functions and replication files for Peter Phillips and Zhentao Shi (2021): "Boosting: Why You Can Use the HP Filter"
  ☆28Updated 2 years ago