mboeck11 / BGVAR
Toolbox for the estimation of Bayesian Global Vector Autoregressions in R.
☆27Updated 2 months ago
Alternatives and similar repositories for BGVAR:
Users that are interested in BGVAR are comparing it to the libraries listed below
- Dynamic Factor Models for R☆31Updated 4 months ago
- Partial re-write of the R package stochvol to allow for asymmetry (leverage).☆15Updated 3 months ago
- Functions for Bayesian inference of vector autoregressive and vector error correction models☆31Updated 4 months ago
- R Package for data driven SVAR identification of impulse response functions☆46Updated 2 years ago
- R package for Mixed-Frequency Bayesian VARs☆38Updated 3 years ago
- Estimating VARs using sign restrictions in R☆19Updated 8 years ago
- Toolkit for the estimation of hierarchical Bayesian vector autoregressions. Implements hierarchical prior selection for conjugate priors …☆51Updated 3 months ago
- Bayesian SVARs with Sign, Zero, and Narrative Restrictions☆13Updated 2 weeks ago
- tsDyn☆34Updated 3 months ago
- MF-BAVART model introduced in "Nowcasting in a Pandemic using Non-Parametric Mixed Frequency VARs"☆30Updated 3 months ago
- R package to estimate time-varying coefficient regressions☆19Updated last year
- R/C++ implementation of Bayes VAR models☆17Updated 5 years ago
- CRAN Task View: Econometrics☆31Updated last week
- Multivariate Time Series Models: VAR, SVAR and SVEC☆43Updated 2 years ago
- Analysis of the Primiceri (REStud, 2005) model☆29Updated 5 months ago
- Dynamic factor models (DFM) in R. Easy estimation and new data contributions to changes in prediction.☆26Updated last year
- r package for bayesian VARs☆22Updated 7 years ago
- R function to compute simultaneous sup-t confidence bands following Montiel Olea and Plagborg-Møller (2019)☆9Updated last year
- ☆13Updated 7 months ago
- Set of R functions for high-dimensional econometrics☆31Updated 4 years ago
- statespacer: State Space Modelling in R☆15Updated 2 years ago
- Out-Of-Sample Time Series Forecasting: OOS introduces a comprehensive framework for time series forecasting with traditional econometric …☆9Updated 3 years ago
- R Package for Bootstrap Unit Root Tests☆10Updated this week
- ☆10Updated 4 months ago
- Code for DID chapter☆11Updated last year
- Source code repository for the R package lfe on CRAN.☆53Updated last year
- Datasets used in the AEA 2018 Continuing Education "Machine Learming and Econometrics" (Athey and Imbens, 2018)☆12Updated 5 years ago
- Bayesian Inference for Global Vector Autoregressive (GVAR) and Global Vector Error Correction (GVEC) Models☆14Updated last year
- Estimation in sharp Difference-in-Difference designs with multiple groups and periods☆20Updated 4 years ago