joergrieger / bvarsLinks
R package for Bayesian Vector Autoregression
☆32Updated 5 years ago
Alternatives and similar repositories for bvars
Users that are interested in bvars are comparing it to the libraries listed below
Sorting:
- MF-BAVART model introduced in "Nowcasting in a Pandemic using Non-Parametric Mixed Frequency VARs"☆34Updated 9 months ago
- Dynamic factor models (DFM) in R. Easy estimation and new data contributions to changes in prediction.☆28Updated 2 years ago
- Functions for Bayesian inference of vector autoregressive and vector error correction models☆33Updated 10 months ago
- Analysis of the Primiceri (REStud, 2005) model☆32Updated 11 months ago
- R Package for data driven SVAR identification of impulse response functions☆48Updated 2 years ago
- R Implementation of the Time Varying Cointegration by Bierens and Martins 2010☆10Updated 9 years ago
- Financial Econometrics module (MSc level)☆21Updated 3 years ago
- Collection of lecture notes and excercises for a course "Machine Learning in Econometrics"☆23Updated 9 years ago
- R/C++ implementation of Bayes VAR models☆22Updated 5 years ago
- A curated list of Vector Autoregression resources☆57Updated 2 years ago
- Trying to get "Large Time-Varying Parameter VAR" of Koop & Kurubillis (2013) done in R.☆24Updated 7 years ago
- ☆19Updated 6 years ago
- Factor-Based Imputation for Missing Data☆59Updated 6 months ago
- Experimental tools (R) for Big Data econometrics nowcasting and early estimates☆32Updated 4 years ago
- Estimating VARs using sign restrictions in R☆21Updated 9 years ago
- Bayesian Inference for Global Vector Autoregressive (GVAR) and Global Vector Error Correction (GVEC) Models☆17Updated last year
- ☆20Updated 3 years ago
- State-Dependent Empirical Analysis: tools for state-dependent forecasts, impulse response functions, historical decomposition, and foreca…☆12Updated 2 years ago
- Toolkit for the estimation of hierarchical Bayesian vector autoregressions. Implements hierarchical prior selection for conjugate priors …☆56Updated 8 months ago
- Replication code for Addressing COVID-19 Outliers in BVARs with Stochastic Volatility“ by Carriero, Clark, Marcellino and Mertens (2021),…☆11Updated 2 years ago
- Estimating Dynamic Common Correlated Effects Models in Stata☆31Updated 6 months ago
- MATLAB code to replicate Koop and Korobilis (2014) A new index of financial conditions. European Economic Review☆20Updated 2 months ago
- Barcelona GSE Macroeconometrics Summer School 2018 course☆14Updated 7 years ago
- DSGE/CGE/VAR/DID/RD/IV/Panel Data☆17Updated 5 years ago
- The Bayesian Estimation, Analysis and Regression toolbox (BEAR) is a comprehensive (Bayesian Panel) VAR toolbox for forecasting and polic…☆119Updated 7 months ago
- Granular instrumental variables, using Gabaix and Koijen paper (2020)☆20Updated 2 years ago
- Bayesian Macroeconometrics in R☆89Updated 3 years ago
- Code to replicate the main results in "The macroeconomic effects of oil supply news: Evidence from OPEC announcements", Känzig 2021☆15Updated last year
- Dynamic Factor Models for R☆39Updated last month
- Lexicon-based Sentiment Analysis for Economic and Financial Applications in R☆24Updated last year