mboeck11 / BGVAR
Toolbox for the estimation of Bayesian Global Vector Autoregressions in R.
☆29Updated 4 months ago
Alternatives and similar repositories for BGVAR:
Users that are interested in BGVAR are comparing it to the libraries listed below
- Partial re-write of the R package stochvol to allow for asymmetry (leverage).☆17Updated 6 months ago
- Dynamic Factor Models for R☆35Updated last month
- Functions for Bayesian inference of vector autoregressive and vector error correction models☆34Updated 7 months ago
- R Package for data driven SVAR identification of impulse response functions☆48Updated 2 years ago
- Estimating VARs using sign restrictions in R☆20Updated 9 years ago
- Bayesian SVARs with Sign, Zero, and Narrative Restrictions☆17Updated last month
- State-Dependent Empirical Analysis: tools for state-dependent forecasts, impulse response functions, historical decomposition, and foreca…☆12Updated 2 years ago
- R package for Mixed-Frequency Bayesian VARs☆40Updated 3 years ago
- R package to estimate time-varying coefficient regressions☆19Updated last year
- tsDyn☆34Updated 6 months ago
- R/C++ implementation of Bayes VAR models☆18Updated 5 years ago
- Set of R functions for high-dimensional econometrics☆31Updated 5 years ago
- Dynamic factor models (DFM) in R. Easy estimation and new data contributions to changes in prediction.☆27Updated last year
- MF-BAVART model introduced in "Nowcasting in a Pandemic using Non-Parametric Mixed Frequency VARs"☆32Updated 6 months ago
- Bayesian Inference for Global Vector Autoregressive (GVAR) and Global Vector Error Correction (GVEC) Models☆17Updated last year
- R Package for Bootstrap Unit Root Tests☆10Updated 3 weeks 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 …☆10Updated 4 years ago
- Toolkit for the estimation of hierarchical Bayesian vector autoregressions. Implements hierarchical prior selection for conjugate priors …☆55Updated 5 months ago
- Multivariate Time Series Models: VAR, SVAR and SVEC☆44Updated 3 years ago
- CRAN Task View: Econometrics☆33Updated last month
- packages for Peter Phillips and Zhentao Shi (2018): "Boosting the Hodrick-Prescott Filter"☆12Updated 2 years ago
- R package recreating econometric methods proposed in "Why You Should Never Use the Hodrick-Prescott Filter" by James Hamilton☆15Updated 2 years ago
- ☆14Updated 10 months ago
- A package for shrinkage estimation of covariance matrices☆12Updated last year
- ☆10Updated 6 months ago
- Analysis of the Primiceri (REStud, 2005) model☆31Updated 8 months ago
- Estimates the weights and the measure of robustness to treatment effect heterogeneity attached to the two-way fixed effects regressions s…☆23Updated 3 years ago
- Estimation of Production Funtions☆9Updated 6 years ago
- BLS API V2 interface☆14Updated last year