Code that replicates the Bayesian Compressed Vector Autoregressive (BCVAR) model in Koop, G., Korobilis, D. and Pettenuzzo, D. (2019). “Bayesian Compressed Vector Autoregressions”, Journal of Econometrics, 210, 135-154.
☆10Jun 6, 2021Updated 5 years ago
Alternatives and similar repositories for BCVAR
Users that are interested in BCVAR are comparing it to the libraries listed below. We may earn a commission when you buy through links labeled 'Ad' on this page.
Sorting:
- The asymptotic normal distribution properties☆16Mar 24, 2018Updated 8 years ago
- R Implementation of the Time Varying Cointegration by Bierens and Martins 2010☆10Apr 14, 2016Updated 10 years ago
- ☆13Apr 16, 2021Updated 5 years ago
- MATLAB code to replicate Koop and Korobilis (2014) A new index of financial conditions. European Economic Review☆23Jun 4, 2025Updated last year
- Inference in SVMA models identified by external instruments/proxies☆20Dec 21, 2022Updated 3 years ago
- Deploy on Railway without the complexity - Free Credits Offer • AdConnect your repo and Railway handles the rest with instant previews. Quickly provision container image services, databases, and storage volumes.
- Scalable implementation of Lee / Mykland (2012), Ait-Sahalia / Jacod (2012) and Ait-Sahalia / Jacod / Li (2012) Jump tests for noisy hig…☆13Jan 21, 2022Updated 4 years ago
- Expected Shortfall Backtesting☆13Sep 3, 2023Updated 3 years ago
- TVP-QR model with time-varying scale parameter, proposed in "Modeling tail risks of inflation using unobserved component quantile regress…☆11Sep 30, 2026Updated last month
- We investigate the connectedness of GDP growth risk over 12 OECD member countries. Understanding the Growth-at-Risk of GDP has been a pop…☆10Jun 8, 2020Updated 6 years ago
- Estimating and Forecasting Macroeconomics Variable Using Time Varying Parameters (TVP) Factor Augmented Vector Autoregression (FAVAR)☆19May 4, 2025Updated last year
- A Stata implementation of Smooth Local Projections from Barnichon and Brownlees (2019)☆12Jul 12, 2026Updated 3 months ago
- SVAR toolbox for bayesian VAR estimation and a range of identification methods☆11Feb 16, 2025Updated last year
- A comprehensive Julia package for macroeconometric research and analysis☆16Updated this week
- Code to compute Spillover Asymmetry Measure (SAM) introduced in Baruník, J., Kočenda, E. and Vácha, L., 2016. Asymmetric connectedness on…☆14Apr 6, 2019Updated 7 years ago
- Serverless GPU API endpoints on Runpod - Get Bonus Credits • AdSkip the infrastructure headaches. Auto-scaling, pay-as-you-go, no-ops approach lets you focus on innovating your application.
- R package recreating econometric methods proposed in "Why You Should Never Use the Hodrick-Prescott Filter" by James Hamilton☆21Aug 21, 2025Updated last year
- The World Bank macro-fiscal models (MFMod) in modelflow (python)☆19Feb 16, 2026Updated 8 months ago
- Large t-Vector AutoRegressive models with volatility spillovers and networks. Code of the paper Barbaglia, Croux, Wilms (2020) "Volatilit…☆19Feb 18, 2021Updated 5 years ago
- Nowcasting macroeconomic indicators using Google Trends☆10Jun 23, 2022Updated 4 years ago
- Code to replicate the main results in "The macroeconomic effects of oil supply news: Evidence from OPEC announcements", Känzig 2021☆23Sep 20, 2023Updated 3 years ago
- Bayesian optimisation for fast approximate inference in state-space models with intractable likelihoods☆13Nov 29, 2017Updated 8 years ago
- MV Port is a Python package to perform Mean-Variance Analysis. It provides a Portfolio class with a variety of methods to help on your po…☆11Feb 3, 2026Updated 9 months ago
- Diebold & Yilmaz method, DCC-Garch method on composite indicies. 2009-2019☆23May 31, 2020Updated 6 years ago
- Monotonic Networks – 1997, Sill☆10Jul 17, 2018Updated 8 years ago
- Virtual machines for every use case on DigitalOcean • AdGet dependable uptime with 99.99% SLA, simple security tools, and predictable monthly pricing with DigitalOcean's virtual machines, called Droplets.
- Analysis of speculative/bubble-like behaviour using LPPL model (exponential accelerations with oscillations). Fitted to Bitcoin data. Sub…☆10Jun 5, 2020Updated 6 years ago
- ☆23Jan 6, 2023Updated 3 years ago
- Article by Dokumentov & Hyndman on Seasonal Trend decomposition using Regression☆19Jul 1, 2021Updated 5 years ago
- Replication code for "Monetary Policy, Credit Spreads, and Business Cycle Fluctuations"☆19Jun 14, 2018Updated 8 years ago
- Econometric Analysis of Explosive Time Series☆32Oct 6, 2026Updated last month
- Functions and replication files for Peter Phillips and Zhentao Shi (2021): "Boosting: Why You Can Use the HP Filter"☆32Jan 15, 2023Updated 3 years ago
- Python implementation of the Louvain method for community detection☆11Jul 4, 2017Updated 9 years ago
- A new GRU framework for stock price prediction. A new module similar to the attention mechanism and a module similar to the ResNet are ad…☆10Sep 4, 2019Updated 7 years ago
- This repository contains the files to implement panel local projections inference as proposed in “Micro Responses to Macro Shocks” (M. Al…☆21Aug 16, 2026Updated 2 months ago
- Deploy to Railway using AI coding agents - Free Credits Offer • AdUse Claude Code, Codex, OpenCode, and more. Autonomous software development now has the infrastructure to match with Railway.
- Tool to design and optimize autonomous vehicle concepts.☆13Aug 29, 2022Updated 4 years ago
- Estimation and forecasting of VAR model with the Lasso☆33Nov 19, 2025Updated 11 months ago
- An interesting research on the perspectival role of public news on look-through company's internal value☆13Nov 14, 2022Updated 3 years ago
- Translated notes from Matlab to Python for Dave Backus's Macrofoundations class.☆15Oct 11, 2017Updated 9 years ago
- A list (quite disorganized for now) of papers tackling the Bayesian estimation of Ito processes (and their discrete time version)☆15Jul 10, 2020Updated 6 years ago
- The effect of copulas on time-variant reliability involving time-continuous stochastic processes☆11Mar 8, 2017Updated 9 years ago
- Community detection on Hollywood actors using various models: Louvain, Clauset-Newman-Moore, GCN, GraphSage, and GAT.☆10Dec 11, 2019Updated 6 years ago
Are these results useful?