kvasilopoulos / awesome-var
A curated list of Vector Autoregression resources
☆55Updated last year
Alternatives and similar repositories for awesome-var:
Users that are interested in awesome-var are comparing it to the libraries listed below
- R package for Bayesian Vector Autoregression☆30Updated 4 years ago
- ☆18Updated 6 years ago
- Vector Autoregression augmented with deep learning.☆15Updated last year
- MF-BAVART model introduced in "Nowcasting in a Pandemic using Non-Parametric Mixed Frequency VARs"☆30Updated 5 months ago
- Code for "Methodological Uncertainty in Portfolio Sorts".☆17Updated 9 months ago
- Replication files for Safety, Liquidity, and the Natural Rate of Interest by Marco del Negro, Domenico Giannone, Marc Giannoni, and Andre…☆32Updated 8 months ago
- Accompaniment to nowcasting benchmark paper, illustrating how to estimate each of the methods examined in either R or Python.☆44Updated last year
- The Bayesian Estimation, Analysis and Regression toolbox (BEAR) is a comprehensive (Bayesian Panel) VAR toolbox for forecasting and polic…☆101Updated 3 months ago
- ☆19Updated 2 years ago
- Dynamic factor models (DFM) in R. Easy estimation and new data contributions to changes in prediction.☆26Updated last year
- Code to quickly process and generate various data from the intraday TRACE corporate bond data from WRDS.☆47Updated 4 months ago
- Replication for Common Owner 1980-2017 (https://www.aeaweb.org/articles?id=10.1257/mic.20190389)☆36Updated 2 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"☆22Updated 7 years ago
- Lexicon-based Sentiment Analysis for Economic and Financial Applications in R☆23Updated last year
- Experimental tools (R) for Big Data econometrics nowcasting and early estimates☆32Updated 4 years ago
- Resources for a PhD class module focused on anomalies.☆14Updated 9 months ago
- Functions for Bayesian inference of vector autoregressive and vector error correction models☆31Updated 5 months ago
- Large t-Vector AutoRegressive models with volatility spillovers and networks. Code of the paper Barbaglia, Croux, Wilms (2020) "Volatilit…☆19Updated 4 years ago
- Big Data Applications in Finance module (MSc level)☆15Updated 3 years ago
- Code and templates for Linzenich, J., and Meunier, B. (2024). "Nowcasting Made Easier: a Toolbox for Real-Time Predictions". Working Pape…☆38Updated last week
- Course on Dynamic Stochastic General Equilibrium (DSGE): Models, Solution, Estimation (graduate level)☆79Updated 2 years ago
- Trying to get "Large Time-Varying Parameter VAR" of Koop & Kurubillis (2013) done in R.☆22Updated 7 years ago
- Bayesian Inference for Global Vector Autoregressive (GVAR) and Global Vector Error Correction (GVEC) Models☆14Updated last year
- Financial Econometrics module (MSc level)☆20Updated 3 years ago
- A package to simulate, filter, and estimate DSGE models with occasionally binding constraints☆59Updated last month
- This is a 12 classes course in Empirical Macroeconomics methods to identify shocks☆23Updated 3 months ago
- This repo has code to do primary data cleaning for Compustat / Crsp from WRDS☆19Updated 4 years ago
- Replication Files for "Evaluating Policy Counterfactuals: A VAR-Plus Approach"☆13Updated 6 months ago
- Toolkit for the estimation of hierarchical Bayesian vector autoregressions. Implements hierarchical prior selection for conjugate priors …☆51Updated 4 months ago