Alternatives and similar repositories for TimeVaryingCointegration:

Users that are interested in TimeVaryingCointegration are comparing it to the libraries listed below

• GediminasB / bayesVAR_TVP
  R/C++ implementation of Bayes VAR models
  ☆18Updated 5 years ago
• dhopp1 / nowcastDFM
  Dynamic factor models (DFM) in R. Easy estimation and new data contributions to changes in prediction.
  ☆27Updated last year
• mpfarrho / mf-bavart
  MF-BAVART model introduced in "Nowcasting in a Pandemic using Non-Parametric Mixed Frequency VARs"
  ☆32Updated 6 months ago
• haakonkavli / tvp_var_utils
  Matlab library for Time Varying Parameter Vector Auto Regressions with Stochastic Volatility (Bayesian solution)
  ☆12Updated 7 years ago
• 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
• mpfarrho / tvp-network-panel
  TVP panel data model featuring time-varying network dependence introduced in "Bayesian state-space modeling for analyzing heterogeneous n…
  ☆12Updated 4 years ago
• Reckziegel / Large-TVP-VAR
  Trying to get "Large Time-Varying Parameter VAR" of Koop & Kurubillis (2013) done in R.
  ☆23Updated 7 years ago
• franzmohr / bgvars
  Bayesian Inference for Global Vector Autoregressive (GVAR) and Global Vector Error Correction (GVEC) Models
  ☆17Updated last year
• FK83 / bvarsv
  Analysis of the Primiceri (REStud, 2005) model
  ☆31Updated 8 months ago
• PedroBSB / Caviar
  Conditional Autoregressive Value-at-Risk: all flavors of CAViaR.
  ☆10Updated 7 years ago
• SebKrantz / dfms
  Dynamic Factor Models for R
  ☆35Updated last month
• chenyang45 / BoostedHP
  packages for Peter Phillips and Zhentao Shi (2018): "Boosting the Hodrick-Prescott Filter"
  ☆12Updated 2 years ago
• korobilis / DMA_FCI
  MATLAB code to replicate Koop and Korobilis (2014) A new index of financial conditions. European Economic Review
  ☆20Updated 5 years ago
• Marga8 / HDGCvar
  Granger causality testing in High Dimensional Vector Autoregressive Models
  ☆15Updated 11 months ago
• tylerJPike / sovereign
  State-Dependent Empirical Analysis: tools for state-dependent forecasts, impulse response functions, historical decomposition, and foreca…
  ☆12Updated 2 years ago
• joergrieger / bvars
  R package for Bayesian Vector Autoregression
  ☆32Updated 4 years ago
• franzmohr / bvartools
  Functions for Bayesian inference of vector autoregressive and vector error correction models
  ☆34Updated 7 months ago
• patrick-weiss / PortfolioSorts_NSE
  Code for "Methodological Uncertainty in Portfolio Sorts".
  ☆17Updated 10 months ago
• QuantLet / GrangerCausalityTestInQuantile
  ☆11Updated 3 months ago
• mpiktas / midasr-user-guide
  ☆11Updated 9 years ago
• XueningZhu / NAR_old
  The code for network autoregression model (NAR)
  ☆10Updated 8 years ago
• lcallot / lassovar
  Estimation and forecasting of VAR model with the Lasso
  ☆28Updated last year
• MikeWolf007 / covShrinkage
  A package for shrinkage estimation of covariance matrices
  ☆12Updated last year
• ankargren / mfbvar
  R package for Mixed-Frequency Bayesian VARs
  ☆40Updated 3 years ago
• vst / mgarchBEKK
  R Package for Simulating, Estimating and Diagnosing MGARCH (BEKK and mGJR) Processes
  ☆15Updated 2 years ago
• cran / rumidas
   This is a read-only mirror of the CRAN R package repository. rumidas — Univariate GARCH-MIDAS, Double-Asymmetric GARCH-MIDAS and MEM-MI…
  ☆11Updated last month
• EmanuelSommer / portvine
  Portfolio level (un)conditional risk measure estimation for backtesting using Vine Copula and ARMA-GARCH models.
  ☆22Updated last year
• pat-alt / deepvars
  Vector Autoregression augmented with deep learning.
  ☆16Updated last year
• gabrielrvsc / ForecastingInflation
  ☆19Updated 3 years ago
• mboeck11 / BGVAR
  Toolbox for the estimation of Bayesian Global Vector Autoregressions in R.
  ☆29Updated 4 months ago