geoluna / FactorModels
A python implementation of McCracken & Ng (2017) Matlab code which is used to estimate factor models and make predictions on the basis of FRED-MD (monthly) and FRED-QD (quarterly) macroeconomic databases.
☆12Updated 5 years ago
Alternatives and similar repositories for FactorModels
Users that are interested in FactorModels are comparing it to the libraries listed below
Sorting:
- This is a 12 classes course in Empirical Macroeconomics methods to identify shocks☆24Updated this week
- Materials for the mini-course on deep learning and macro-finance.☆21Updated 10 months ago
- Resources for a PhD class module focused on anomalies.☆16Updated 11 months ago
- Big Data Applications in Finance module (MSc level)☆15Updated 3 years ago
- Code to replicate the main results in "The macroeconomic effects of oil supply news: Evidence from OPEC announcements", Känzig 2021☆14Updated last year
- Source code for Bazdresch, Kahn, Whited "Estimating and Testing Dynamic Corporate Finance Models"☆23Updated 7 years ago
- Barcelona GSE Macroeconometrics Summer School 2018 course☆21Updated 6 years ago
- Barcelona GSE Macroeconometrics Summer School 2018 course☆14Updated 6 years ago
- A repository for TA sessions of a Quantitative Macroeconomics PhD course at Bocconi University. Some non-related but neighboring material…☆36Updated 4 years ago
- Inference in SVMA models identified by external instruments/proxies☆12Updated 2 years ago
- Gradually build up a life-cycle model☆18Updated 2 weeks ago
- ☆15Updated 3 years ago
- LP and VAR inference under potential misspecification☆11Updated 9 months ago
- A set of routines that solve models with occasionally binding constraints using Dynare☆10Updated 4 years ago
- Replication for Common Owner 1980-2017 (https://www.aeaweb.org/articles?id=10.1257/mic.20190389)☆36Updated 2 years ago
- Repository containing vintages of oil supply news shock data☆11Updated 5 months ago
- Financial Econometrics module (MSc level)☆21Updated 3 years ago
- ☆18Updated 6 years ago
- Dynare .mod files for macroeconomic DSGE models☆12Updated 5 months ago
- A package to simulate, filter, and estimate DSGE models with occasionally binding constraints☆59Updated 2 weeks ago
- Solving and Simulating Several Heterogeneous Agents Borrowing and Savings Models☆23Updated 5 years ago
- Introduction to Structural VAR models☆12Updated 5 years ago
- ☆11Updated last year
- Overlapping Generations Heterogeneous Agents (OLGHA) Model☆21Updated 2 years ago
- A collection of Dynare models☆21Updated 4 years ago
- ☆12Updated last year
- Dynare codes for A Method for Solving and Estimating Heterogeneous Agent Macro Models☆21Updated 2 years ago
- A curated list of Vector Autoregression resources☆56Updated last year
- Solving models with numerical methods (economics)☆11Updated last year
- simple dsge stuff in python☆13Updated 7 months ago