dhopp1 / nowcasting_benchmarkLinks
Accompaniment to nowcasting benchmark paper, illustrating how to estimate each of the methods examined in either R or Python.
☆61Updated 2 years ago
Alternatives and similar repositories for nowcasting_benchmark
Users that are interested in nowcasting_benchmark are comparing it to the libraries listed below
Sorting:
- Large t-Vector AutoRegressive models with volatility spillovers and networks. Code of the paper Barbaglia, Croux, Wilms (2020) "Volatilit…☆19Updated 4 years ago
- Granular instrumental variables, using Gabaix and Koijen paper (2020)☆21Updated 3 years ago
- A curated list of Vector Autoregression resources☆63Updated 2 years ago
- Code for "Methodological Uncertainty in Portfolio Sorts".☆20Updated last year
- Code to quickly process and generate various data from the intraday TRACE corporate bond data from WRDS.☆54Updated last year
- Dynamic factor models (DFM) in R. Easy estimation and new data contributions to changes in prediction.☆30Updated 2 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 …☆27Updated 2 years ago
- R package for Bayesian Vector Autoregression☆31Updated 5 years ago
- Python Nowcasting☆132Updated 5 years ago
- Code and templates for Linzenich, J., and Meunier, B. (2024). "Nowcasting Made Easier: a Toolbox for Real-Time Predictions". Working Pape…☆53Updated 7 months ago
- Nowcasting☆228Updated 6 years ago
- ☆51Updated 3 months ago
- Factor-Based Imputation for Missing Data☆62Updated last year
- Lexicon-based Sentiment Analysis for Economic and Financial Applications in R☆24Updated last year
- LSTM neural networks for nowcasting economic data.☆71Updated last year
- Key: time series analysis, forecasting of GDP growth, macroeconomic, Kalman-filtering techniques, and a dynamic factor model.☆15Updated 5 years ago
- Vector Autoregression augmented with deep learning.☆17Updated 2 years ago
- Code to replicate the main results in "The macroeconomic effects of oil supply news: Evidence from OPEC announcements", Känzig 2021☆16Updated 2 years ago
- Material for the exercise sessions of master course Machine Learning for Economic Analysis @UZH☆87Updated 3 years ago
- R package for Dynamic Factor Models with mixed frequencies and unbalanced panel☆102Updated 3 years ago
- Macro with Python☆54Updated 4 years ago
- Advanced Financial Econometrics - Trinity Term 2020☆32Updated 4 years ago
- State-Dependent Empirical Analysis: tools for state-dependent forecasts, impulse response functions, historical decomposition, and foreca…☆16Updated 3 years ago
- This repository stores the source code for the Python and R projects used to access the database.☆17Updated 8 months ago
- Codes for for Bayesian Local Projections & Bayesian Direct Forecasts☆14Updated 2 years ago
- R code for the IMF edX course on Macroeconomic Forecasting☆17Updated 10 years ago
- ☆19Updated last year
- Resources for a PhD class module focused on anomalies.☆19Updated last year
- ☆34Updated 7 months ago
- A repository to explore the concepts of applied econometrics in the context of financial time-series.☆41Updated 5 years ago