dhopp1 / nowcasting_benchmarkLinks
Accompaniment to nowcasting benchmark paper, illustrating how to estimate each of the methods examined in either R or Python.
☆50Updated last year
Alternatives and similar repositories for nowcasting_benchmark
Users that are interested in nowcasting_benchmark are comparing it to the libraries listed below
Sorting:
- Code to quickly process and generate various data from the intraday TRACE corporate bond data from WRDS.☆51Updated 10 months ago
- Large t-Vector AutoRegressive models with volatility spillovers and networks. Code of the paper Barbaglia, Croux, Wilms (2020) "Volatilit…☆19Updated 4 years ago
- Dynamic factor models (DFM) in R. Easy estimation and new data contributions to changes in prediction.☆28Updated 2 years ago
- A curated list of Vector Autoregression resources☆58Updated 2 years ago
- R package for Bayesian Vector Autoregression☆31Updated 5 years ago
- Granular instrumental variables, using Gabaix and Koijen paper (2020)☆20Updated 3 years ago
- Code and templates for Linzenich, J., and Meunier, B. (2024). "Nowcasting Made Easier: a Toolbox for Real-Time Predictions". Working Pape…☆45Updated last month
- Code for "Methodological Uncertainty in Portfolio Sorts".☆19Updated last year
- Lexicon-based Sentiment Analysis for Economic and Financial Applications in R☆24Updated last year
- Factor-Based Imputation for Missing Data☆59Updated 7 months ago
- Vector Autoregression augmented with deep learning.☆16Updated last year
- Code to replicate the main results in "The macroeconomic effects of oil supply news: Evidence from OPEC announcements", Känzig 2021☆15Updated last year
- R code for the IMF edX course on Macroeconomic Forecasting☆16Updated 9 years ago
- R package for Dynamic Factor Models with mixed frequencies and unbalanced panel☆101Updated 3 years ago
- This code show the SVAR results from the paper: "Lutz Kilian, 2009. "Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply …☆26Updated 2 years ago
- Nowcasting☆219Updated 5 years ago
- Key: time series analysis, forecasting of GDP growth, macroeconomic, Kalman-filtering techniques, and a dynamic factor model.☆15Updated 5 years ago
- This repository includes replication code and raw data used in the construction of the Global Macro Database.☆153Updated last month
- ☆21Updated 3 years ago
- MF-BAVART model introduced in "Nowcasting in a Pandemic using Non-Parametric Mixed Frequency VARs"☆34Updated 10 months ago
- The Bayesian Estimation, Analysis and Regression toolbox (BEAR) is a comprehensive (Bayesian Panel) VAR toolbox for forecasting and polic…☆120Updated 8 months ago
- Python Nowcasting☆127Updated 4 years ago
- A package for shrinkage estimation of covariance matrices☆12Updated last year
- Experimental tools (R) for Big Data econometrics nowcasting and early estimates☆32Updated 4 years ago
- midasml package is dedicated to run predictive high-dimensional mixed data sampling models☆41Updated last year
- Macro with Python☆54Updated 4 years ago
- Advanced Financial Econometrics - Trinity Term 2020☆31Updated 4 years ago
- Trying to get "Large Time-Varying Parameter VAR" of Koop & Kurubillis (2013) done in R.☆24Updated 7 years ago
- Resources for a PhD class module focused on anomalies.☆16Updated last year
- This is a Repo for the econ working paper template.☆10Updated last month