pat-alt / deepvarsLinks
Vector Autoregression augmented with deep learning.
☆17Updated last year
Alternatives and similar repositories for deepvars
Users that are interested in deepvars are comparing it to the libraries listed below
Sorting:
- MF-BAVART model introduced in "Nowcasting in a Pandemic using Non-Parametric Mixed Frequency VARs"☆34Updated 2 weeks ago
- Code and templates for Linzenich, J., and Meunier, B. (2024). "Nowcasting Made Easier: a Toolbox for Real-Time Predictions". Working Pape…☆47Updated 4 months ago
- Estimating VARs using sign restrictions in R☆21Updated 9 years ago
- The Bayesian Estimation, Analysis and Regression toolbox (BEAR) is a comprehensive (Bayesian Panel) VAR toolbox for forecasting and polic…☆126Updated 11 months ago
- ☆19Updated 6 years ago
- Replication code for Addressing COVID-19 Outliers in BVARs with Stochastic Volatility“ by Carriero, Clark, Marcellino and Mertens (2021),…☆11Updated 2 years ago
- Replication Toolbox of the Macroeconomic Model Data Base (MMB)☆14Updated 9 months ago
- LP and VAR inference under potential misspecification☆14Updated this week
- Granular instrumental variables, using Gabaix and Koijen paper (2020)☆20Updated 3 years ago
- A curated list of Vector Autoregression resources☆61Updated 2 years ago
- R package for Bayesian Vector Autoregression☆31Updated 5 years ago
- Replication files for Safety, Liquidity, and the Natural Rate of Interest by Marco del Negro, Domenico Giannone, Marc Giannoni, and Andre…☆35Updated last year
- Analysis of the Primiceri (REStud, 2005) model☆32Updated last year
- This is a 12 classes course in Empirical Macroeconomics methods to identify shocks☆25Updated 5 months ago
- Functions for Bayesian inference of vector autoregressive and vector error correction models☆33Updated last year
- Dynamic factor models (DFM) in R. Easy estimation and new data contributions to changes in prediction.☆29Updated 2 years ago
- ☆22Updated 3 years ago
- R Package for data driven SVAR identification of impulse response functions☆50Updated last month
- TVP-QR model with time-varying scale parameter, proposed in "Modeling tail risks of inflation using unobserved component quantile regress…☆11Updated 3 years ago
- Toolkit for the estimation of hierarchical Bayesian vector autoregressions. Implements hierarchical prior selection for conjugate priors …☆56Updated last year
- Financial Econometrics (MSc, Julia code)☆67Updated 3 months ago
- Bayesian SVARs with Sign, Zero, and Narrative Restrictions☆25Updated 4 months ago
- Quantile Local Projections☆12Updated 3 years ago
- Financial Econometrics module (MSc level)☆22Updated 4 years ago
- Course materials for ECON526 MA Quantitative Economics; computational econ and data science with a focus on causal inference☆25Updated last week
- Replication Files for "Evaluating Monetary Policy Counterfactuals: (When) Do We Need Structural Models?" by Caravello, McKay & Wolf☆17Updated 4 months ago
- Course on Dynamic Stochastic General Equilibrium (DSGE): Models, Solution, Estimation (graduate level)☆88Updated 3 years ago
- Bayesian Estimation of Structural Vector Autoregressive Models☆57Updated last week
- ☆15Updated 4 years ago
- [IrisToolbox] for Macroeconomic Modeling☆94Updated last year