pruggerd / Structural-Vector-Autoregression-ModelingLinks
I analyze the interplay of three U.S. time series: unemployment, inflation and gross domestic product. The first cleans the data and invests seasonality and stationarity. The second part develops a (structural) vector autoregressive model and test structural identification. The third uses principal compnent analysis and three different quality …
☆10Updated 6 years ago
Alternatives and similar repositories for Structural-Vector-Autoregression-Modeling
Users that are interested in Structural-Vector-Autoregression-Modeling are comparing it to the libraries listed below
Sorting:
- Dynamic Factor Models for R☆43Updated this week
- Dashboard: Macroeconomic Data of Brazil☆11Updated 3 years ago
- Bayesian Inference for Global Vector Autoregressive (GVAR) and Global Vector Error Correction (GVEC) Models☆17Updated 2 years ago
- Functions for Bayesian inference of vector autoregressive and vector error correction models☆34Updated last year
- Penalized Poisson Pseudo Maximum Likelihood☆14Updated last year
- R package for Mixed-Frequency Bayesian VARs☆44Updated 4 years ago
- packages for Peter Phillips and Zhentao Shi (2018): "Boosting the Hodrick-Prescott Filter"☆12Updated 3 years ago
- R/C++ implementation of Bayes VAR models☆21Updated 6 years ago
- R package recreating econometric methods proposed in "Why You Should Never Use the Hodrick-Prescott Filter" by James Hamilton☆17Updated 5 months ago
- Bayesian SVARs with Sign, Zero, and Narrative Restrictions☆28Updated 7 months ago
- CRAN Task View: Econometrics☆34Updated 3 months ago
- R function to compute simultaneous sup-t confidence bands following Montiel Olea and Plagborg-Møller (2019)☆11Updated 2 years ago
- Toolbox for the estimation of Bayesian Global Vector Autoregressions in R.☆31Updated last month
- R package to estimate time-varying coefficient regressions☆19Updated 4 months ago
- R wrapper for nowcast_lstm Python library. Long short-term memory neural networks for economic nowcasting.☆13Updated last year
- Caliendo and Parro (2015) quantitative trade model in R.☆13Updated last year
- Granger causality testing in High Dimensional Vector Autoregressive Models☆16Updated last year
- BLS API V2 interface☆16Updated 2 years ago
- An R package for multivariate signal extraction☆13Updated last month
- R Package for data driven SVAR identification of impulse response functions☆54Updated 3 months ago
- Data Science for Economists and Other Animals☆29Updated 4 years ago
- ☆17Updated last year
- Dynamic factor models (DFM) in R. Easy estimation and new data contributions to changes in prediction.☆30Updated 2 years ago
- Multiple Treatment Effects Regression☆17Updated last year
- This is the replication code for the paper: Heimberger, Philipp (2022): "Does public debt reduce economic growth?", Journal of Economic S…☆15Updated 3 years ago
- Leontief's Input-Output Model in R☆18Updated 5 months ago
- Time Series And Econometric Modeling In R☆20Updated 3 months ago
- Macroeconomics at Claremont Graduate University☆48Updated 7 years ago
- TVP panel data model featuring time-varying network dependence introduced in "Bayesian state-space modeling for analyzing heterogeneous n…☆13Updated 4 years ago
- Time series forecasting with Lasso-type shrinkage methods☆12Updated 3 months ago