dhopp1 / nowcasting_benchmarkLinks
Accompaniment to nowcasting benchmark paper, illustrating how to estimate each of the methods examined in either R or Python.
☆60Updated 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:
- Code and templates for Linzenich, J., and Meunier, B. (2024). "Nowcasting Made Easier: a Toolbox for Real-Time Predictions". Working Pape…☆52Updated 6 months ago
- A curated list of Vector Autoregression resources☆61Updated 2 years ago
- Large t-Vector AutoRegressive models with volatility spillovers and networks. Code of the paper Barbaglia, Croux, Wilms (2020) "Volatilit…☆19Updated 4 years ago
- Code to quickly process and generate various data from the intraday TRACE corporate bond data from WRDS.☆54Updated last year
- Granular instrumental variables, using Gabaix and Koijen paper (2020)☆20Updated 3 years ago
- Code for "Methodological Uncertainty in Portfolio Sorts".☆20Updated last year
- Dynamic factor models (DFM) in R. Easy estimation and new data contributions to changes in prediction.☆29Updated 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
- Python Nowcasting☆131Updated 4 years ago
- Factor-Based Imputation for Missing Data☆60Updated 11 months ago
- R package for Bayesian Vector Autoregression☆31Updated 5 years ago
- Lexicon-based Sentiment Analysis for Economic and Financial Applications in R☆24Updated last year
- Code to replicate the main results in "The macroeconomic effects of oil supply news: Evidence from OPEC announcements", Känzig 2021☆16Updated 2 years ago
- ☆52Updated 2 months ago
- Key: time series analysis, forecasting of GDP growth, macroeconomic, Kalman-filtering techniques, and a dynamic factor model.☆15Updated 5 years ago
- The Bayesian Estimation, Analysis and Regression toolbox (BEAR) is a comprehensive (Bayesian Panel) VAR toolbox for forecasting and polic…☆126Updated last year
- Nowcasting☆228Updated 6 years ago
- This repository includes replication code and raw data used in the construction of the Global Macro Database.☆207Updated this week
- MATLAB Toolkit that accompanies Novy-Marx and Velikov (2023)☆44Updated 2 years ago
- Vector Autoregression augmented with deep learning.☆17Updated last year
- midasml package is dedicated to run predictive high-dimensional mixed data sampling models☆44Updated 2 years ago
- Codes for for Bayesian Local Projections & Bayesian Direct Forecasts☆14Updated 2 years ago
- R package for Dynamic Factor Models with mixed frequencies and unbalanced panel☆102Updated 3 years ago
- Resources for a PhD class module focused on anomalies.☆19Updated last year
- ☆18Updated last year
- ☆23Updated 3 years ago
- R code for the IMF edX course on Macroeconomic Forecasting☆17Updated 9 years ago
- State-Dependent Empirical Analysis: tools for state-dependent forecasts, impulse response functions, historical decomposition, and foreca…☆16Updated 3 years ago
- Deep Dynamic Factor Models☆25Updated this week
- This package implements the local projections models in Python for single entity time series, and panel / longitudinal data settings, due…☆38Updated last year