Alternatives and similar repositories for midasml

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

• dhopp1 / nowcastDFM
  Dynamic factor models (DFM) in R. Easy estimation and new data contributions to changes in prediction.
  ☆29Updated 2 years ago
• mpfarrho / mf-bavart
  MF-BAVART model introduced in "Nowcasting in a Pandemic using Non-Parametric Mixed Frequency VARs"
  ☆34Updated 2 months ago
• joergrieger / bvars
  R package for Bayesian Vector Autoregression
  ☆31Updated 5 years ago
• franzmohr / bvartools
  Functions for Bayesian inference of vector autoregressive and vector error correction models
  ☆33Updated last year
• FK83 / bvarsv
  Analysis of the Primiceri (REStud, 2005) model
  ☆32Updated last year
• mpiktas / midasr-user-guide
  ☆11Updated 10 years ago
• GediminasB / bayesVAR_TVP
  R/C++ implementation of Bayes VAR models
  ☆21Updated 6 years ago
• Reckziegel / Large-TVP-VAR
  Trying to get "Large Time-Varying Parameter VAR" of Koop & Kurubillis (2013) done in R.
  ☆26Updated 7 years ago
• cykbennie / fbi
  Factor-Based Imputation for Missing Data
  ☆60Updated 11 months ago
• tylerJPike / sovereign
  State-Dependent Empirical Analysis: tools for state-dependent forecasts, impulse response functions, historical decomposition, and foreca…
  ☆16Updated 3 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
• lucabarbaglia / FiGASR
  Lexicon-based Sentiment Analysis for Economic and Financial Applications in R
  ☆24Updated last year
• hannes101 / TimeVaryingCointegration
  R Implementation of the Time Varying Cointegration by Bierens and Martins 2010
  ☆10Updated 9 years ago
• eurostat / econowcast
  Experimental tools (R) for Big Data econometrics nowcasting and early estimates
  ☆31Updated 5 years ago
• SebKrantz / dfms
  Dynamic Factor Models for R
  ☆40Updated last month
• alexanderlange53 / svars
  R Package for data driven SVAR identification of impulse response functions
  ☆51Updated 2 months ago
• mpfarrho / tvp-qr
  TVP-QR model with time-varying scale parameter, proposed in "Modeling tail risks of inflation using unobserved component quantile regress…
  ☆11Updated 3 years ago
• FRBNY-TimeSeriesAnalysis / rstarGlobal
  ☆19Updated 6 years ago
• MikeWolf007 / covShrinkage
  A package for shrinkage estimation of covariance matrices
  ☆14Updated last year
• 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
• onnokleen / mfGARCH
  An R package for using mixed-frequency GARCH models
  ☆73Updated 2 years ago
• LeopoldoCatania / GAS
  GAS models
  ☆35Updated 4 years ago
• andrewchbaker / BaGel
  Codes to replicate analysis in Baker & Gelbach (2020)
  ☆11Updated 5 years ago
• romainlafarguette / granulariv
  Granular instrumental variables, using Gabaix and Koijen paper (2020)
  ☆20Updated 3 years ago
• bsvars / bsvarSIGNs
  Bayesian SVARs with Sign, Zero, and Narrative Restrictions
  ☆27Updated 6 months ago
• jeremylhour / hdmetrics
  Machine Learning for Econometrics -- ENSAE Paris
  ☆26Updated 5 years ago
• mpiktas / midasr
  R package for mixed frequency time series data analysis.
  ☆80Updated 8 months ago
• zhan-gao / LasForecast
  Time series forecasting with Lasso-type shrinkage methods
  ☆12Updated 2 months ago
• KevinKotze / tsm
  Time Series Modelling
  ☆24Updated 5 months ago
• romainlafarguette / quantileproj
  Quantile Local Projections
  ☆12Updated 3 years ago