Alternatives and similar repositories for VAR-Tensor

Users that are interested in VAR-Tensor are comparing it to the libraries listed below

• Marga8 / HDGCvar
  Granger causality testing in High Dimensional Vector Autoregressive Models
  ☆15Updated last year
• hannes101 / TimeVaryingCointegration
  R Implementation of the Time Varying Cointegration by Bierens and Martins 2010
  ☆10Updated 9 years ago
• davidakelley / MFSS
  Mixed Frequency State Space toolbox
  ☆16Updated last year
• mpfarrho / mf-bavart
  MF-BAVART model introduced in "Nowcasting in a Pandemic using Non-Parametric Mixed Frequency VARs"
  ☆35Updated 11 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
• bssherwood / rqpen
  Penalized Quantile Regression
  ☆18Updated 7 months ago
• cuiruifei / CopulaFactorModel
  Inference for Gaussian copula factor models and its application to causal discovery.
  ☆15Updated 5 years ago
• wbnicholson / BigVAR
  Dimension Reduction Methods for Multivariate Time Series
  ☆62Updated 4 months ago
• XueningZhu / NAR_old
  The code for network autoregression model (NAR)
  ☆10Updated 9 years ago
• haakonkavli / tvp_var_utils
  Matlab library for Time Varying Parameter Vector Auto Regressions with Stochastic Volatility (Bayesian solution)
  ☆13Updated 7 years ago
• GediminasB / bayesVAR_TVP
  R/C++ implementation of Bayes VAR models
  ☆22Updated 5 years ago
• lbelzile / mev
  Modelling extreme values
  ☆15Updated 3 weeks ago
• Reckziegel / Large-TVP-VAR
  Trying to get "Large Time-Varying Parameter VAR" of Koop & Kurubillis (2013) done in R.
  ☆25Updated 7 years ago
• dhopp1 / nowcastDFM
  Dynamic factor models (DFM) in R. Easy estimation and new data contributions to changes in prediction.
  ☆29Updated 2 years ago
• alexanderlange53 / svars
  R Package for data driven SVAR identification of impulse response functions
  ☆49Updated last month
• FK83 / bvarsv
  Analysis of the Primiceri (REStud, 2005) model
  ☆32Updated last year
• 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
• victor5as / RieszLearning
  Replication files for Chernozhukov, Newey, Quintas-Martínez and Syrgkanis (2021) "RieszNet and ForestRiesz: Automatic Debiased Machine Le…
  ☆14Updated 3 years ago
• Tinkat / CoVaR
  CoVaR estimation via quantile regression
  ☆27Updated 7 years ago
• jstriaukas / midasml
  midasml package is dedicated to run predictive high-dimensional mixed data sampling models
  ☆41Updated 2 years ago
• andrugo / RCoVaRCopula
  R Code CoVaR with Copula
  ☆76Updated last year
• nk027 / bvar
  Toolkit for the estimation of hierarchical Bayesian vector autoregressions. Implements hierarchical prior selection for conjugate priors …
  ☆57Updated 10 months ago
• alfredgalichon / VQR
  Code for Vector Quantile Regression (Carlier, Chernozhukov, Galichon, Annals of Statistics, 2016)
  ☆16Updated 4 years ago
• ankargren / mfbvar
  R package for Mixed-Frequency Bayesian VARs
  ☆42Updated 4 years ago
• franzmohr / bvartools
  Functions for Bayesian inference of vector autoregressive and vector error correction models
  ☆33Updated last year
• soerenkuenzel / causalToolbox
  ☆43Updated 4 years ago
• zhan-gao / LasForecast
  Time series forecasting with Lasso-type shrinkage methods
  ☆13Updated last month
• jaredsmurray / bcf
  Bayesian Causal Forests
  ☆48Updated last year
• lihualei71 / cfcausalPaper
  Paper Repository
  ☆12Updated 3 years ago
• cranedroesch / panelNNET
  ☆18Updated 7 years ago