Alternatives and similar repositories for mev

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

• chenyang45 / BoostedHP
  packages for Peter Phillips and Zhentao Shi (2018): "Boosting the Hodrick-Prescott Filter"
  ☆12Updated 3 years ago
• gregorkastner / stochvol
  Partial re-write of the R package stochvol to allow for asymmetry (leverage).
  ☆16Updated 2 months ago
• GediminasB / bayesVAR_TVP
  R/C++ implementation of Bayes VAR models
  ☆21Updated 6 years ago
• hannes101 / TimeVaryingCointegration
  R Implementation of the Time Varying Cointegration by Bierens and Martins 2010
  ☆10Updated 9 years ago
• ankargren / mfbvar
  R package for Mixed-Frequency Bayesian VARs
  ☆43Updated 4 years ago
• mboeck11 / BGVAR
  Toolbox for the estimation of Bayesian Global Vector Autoregressions in R.
  ☆31Updated last month
• MarieTernes / hierarchical-MFVAR
  Sparse regression of mixed-frequency VectorAutoregressions
  ☆10Updated 3 years ago
• SebKrantz / dfms
  Dynamic Factor Models for R
  ☆40Updated last month
• franzmohr / bvartools
  Functions for Bayesian inference of vector autoregressive and vector error correction models
  ☆33Updated last year
• Marga8 / HDGCvar
  Granger causality testing in High Dimensional Vector Autoregressive Models
  ☆16Updated last year
• dhopp1 / nowcastDFM
  Dynamic factor models (DFM) in R. Easy estimation and new data contributions to changes in prediction.
  ☆29Updated 2 years ago
• tomzylkin / penppml
  Penalized Poisson Pseudo Maximum Likelihood
  ☆13Updated 10 months ago
• dhopp1 / nowcastLSTM
  R wrapper for nowcast_lstm Python library. Long short-term memory neural networks for economic nowcasting.
  ☆13Updated last year
• zhan-gao / LasForecast
  Time series forecasting with Lasso-type shrinkage methods
  ☆12Updated last month
• rbagd / dynfactoR
  Dynamic factor model estimation for R
  ☆24Updated 3 years ago
• nk027 / bvar
  Toolkit for the estimation of hierarchical Bayesian vector autoregressions. Implements hierarchical prior selection for conjugate priors …
  ☆56Updated last year
• tylerJPike / sovereign
  State-Dependent Empirical Analysis: tools for state-dependent forecasts, impulse response functions, historical decomposition, and foreca…
  ☆16Updated 3 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…
  ☆13Updated 4 years ago
• pruggerd / Structural-Vector-Autoregression-Modeling
  I analyze the interplay of three U.S. time series: unemployment, inflation and gross domestic product. The first cleans the data and inve…
  ☆10Updated 6 years ago
• franzmohr / bgvars
  Bayesian Inference for Global Vector Autoregressive (GVAR) and Global Vector Error Correction (GVEC) Models
  ☆17Updated 2 years ago
• icasas / tvReg
  R package to estimate time-varying coefficient regressions
  ☆19Updated 2 months ago
• bsvars / bsvarSIGNs
  Bayesian SVARs with Sign, Zero, and Narrative Restrictions
  ☆26Updated 5 months ago
• alexanderlange53 / svars
  R Package for data driven SVAR identification of impulse response functions
  ☆51Updated last month
• JustinMShea / neverhpfilter
  R package recreating econometric methods proposed in "Why You Should Never Use the Hodrick-Prescott Filter" by James Hamilton
  ☆16Updated 3 months ago
• smeekes / bootUR
  R Package for Bootstrap Unit Root Tests
  ☆10Updated 7 months ago
• MikeWolf007 / covShrinkage
  A package for shrinkage estimation of covariance matrices
  ☆14Updated last year
• mpfarrho / mf-bavart
  MF-BAVART model introduced in "Nowcasting in a Pandemic using Non-Parametric Mixed Frequency VARs"
  ☆34Updated last month
• tuckermcelroy / sigex
  An R package for multivariate signal extraction
  ☆13Updated 3 months ago
• BayerSe / esback
  Expected Shortfall Backtesting
  ☆12Updated 2 years ago
• nicolagnecco / erf
  An R package for extreme quantile regression with random forests
  ☆12Updated last year