Alternatives and similar repositories for MFSS

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

• hannes101 / TimeVaryingCointegration
  R Implementation of the Time Varying Cointegration by Bierens and Martins 2010
  ☆10Updated 9 years ago
• smeekes / bootUR
  R Package for Bootstrap Unit Root Tests
  ☆10Updated 9 months ago
• gregorkastner / stochvol
  Partial re-write of the R package stochvol to allow for asymmetry (leverage).
  ☆16Updated 3 months ago
• mboeck11 / BGVAR
  Toolbox for the estimation of Bayesian Global Vector Autoregressions in R.
  ☆31Updated last month
• mpfarrho / mf-bavart
  MF-BAVART model introduced in "Nowcasting in a Pandemic using Non-Parametric Mixed Frequency VARs"
  ☆36Updated 3 months ago
• mpfarrho / tvp-network-panel
  TVP panel data model featuring time-varying network dependence introduced in "Bayesian state-space modeling for analyzing heterogeneous n…
  ☆13Updated 4 years ago
• Marga8 / HDGCvar
  Granger causality testing in High Dimensional Vector Autoregressive Models
  ☆16Updated last year
• alexanderlange53 / svars
  R Package for data driven SVAR identification of impulse response functions
  ☆54Updated 3 months ago
• joergrieger / bvars
  R package for Bayesian Vector Autoregression
  ☆31Updated 5 years ago
• GediminasB / bayesVAR_TVP
  R/C++ implementation of Bayes VAR models
  ☆21Updated 6 years ago
• lbelzile / mev
  Modelling extreme values
  ☆15Updated last month
• elmarmertens / CCMMoutlierVAR-code
  Replication code for Addressing COVID-19 Outliers in BVARs with Stochastic Volatility“ by Carriero, Clark, Marcellino and Mertens (2021),…
  ☆11Updated 3 years ago
• romainlafarguette / quantileproj
  Quantile Local Projections
  ☆12Updated 3 years ago
• anorring / Bayesian-times-series-methods
  Barcelona GSE Macroeconometrics Summer School 2018 courses
  ☆14Updated 7 years ago
• Reckziegel / Large-TVP-VAR
  Trying to get "Large Time-Varying Parameter VAR" of Koop & Kurubillis (2013) done in R.
  ☆26Updated 8 years ago
• MikeWolf007 / covShrinkage
  A package for shrinkage estimation of covariance matrices
  ☆14Updated 2 years ago
• nk027 / bvar
  Toolkit for the estimation of hierarchical Bayesian vector autoregressions. Implements hierarchical prior selection for conjugate priors …
  ☆57Updated last year
• barunik / sam
  Code to compute Spillover Asymmetry Measure (SAM) introduced in Baruník, J., Kočenda, E. and Vácha, L., 2016. Asymmetric connectedness on…
  ☆14Updated 6 years ago
• dhopp1 / nowcastDFM
  Dynamic factor models (DFM) in R. Easy estimation and new data contributions to changes in prediction.
  ☆30Updated 2 years ago
• KevinKotze / tsm
  Time Series Modelling
  ☆24Updated 6 months ago
• vesGra / garch
  DCC BEKK Factor Copula MSV
  ☆14Updated 7 years ago
• haakonkavli / tvp_var_utils
  Matlab library for Time Varying Parameter Vector Auto Regressions with Stochastic Volatility (Bayesian solution)
  ☆13Updated 8 years ago
• XueningZhu / NAR_old
  The code for network autoregression model (NAR)
  ☆10Updated 9 years ago
• franzmohr / bvartools
  Functions for Bayesian inference of vector autoregressive and vector error correction models
  ☆34Updated last year
• MarieTernes / hierarchical-MFVAR
  Sparse regression of mixed-frequency VectorAutoregressions
  ☆10Updated 3 years ago
• bdemeshev / bvar_om
  bvar with om
  ☆14Updated 4 years ago
• bsvars / bsvarSIGNs
  Bayesian SVARs with Sign, Zero, and Narrative Restrictions
  ☆27Updated 7 months ago
• mpfarrho / tvp-qr
  TVP-QR model with time-varying scale parameter, proposed in "Modeling tail risks of inflation using unobserved component quantile regress…
  ☆11Updated 3 years ago
• kvasilopoulos / awesome-var
  A curated list of Vector Autoregression resources
  ☆63Updated 2 years ago
• FRBNY-TimeSeriesAnalysis / rstarGlobal
  ☆19Updated 6 years ago