rbagd / dynfactoR
Dynamic factor model estimation for R
☆23Updated last year
Related projects: ⓘ
- GAS models☆35Updated 3 years ago
- r package for bayesian VARs☆22Updated 6 years ago
- Expected Shortfall Backtesting☆11Updated last year
- Dynamic Factor Models for R☆29Updated 3 months ago
- tsDyn☆34Updated 11 months ago
- R package for fast rolling and expanding linear regression models☆21Updated 2 years ago
- Convolution-type Smoothed Quantile Regression☆19Updated last year
- Functions for Bayesian inference of vector autoregressive and vector error correction models☆29Updated 8 months ago
- R package for Mixed-Frequency Bayesian VARs☆37Updated 3 years ago
- This package provides functions for computing One-Sided Dynamic Principal Components, a novel multivariate time series dimension reductio…☆7Updated 5 months ago
- KFAS: R Package for Exponential Family State Space Models☆64Updated last week
- Toolkit for the estimation of hierarchical Bayesian vector autoregressions. Implements hierarchical prior selection for conjugate priors …☆47Updated 7 months ago
- Bayesian Generalized Linear Models with Time-Varying Coefficients☆45Updated 3 weeks ago
- Dynamic factor models (DFM) in R. Easy estimation and new data contributions to changes in prediction.☆25Updated last year
- R/C++ implementation of Bayes VAR models☆17Updated 4 years ago
- Multivariate Time Series Models: VAR, SVAR and SVEC☆40Updated 2 years ago
- Dimension Reduction Methods for Multivariate Time Series☆56Updated 7 months ago
- Partial re-write of the R package stochvol to allow for asymmetry (leverage).☆15Updated 6 months ago
- R package to estimate time-varying coefficient regressions☆19Updated last year
- House Price Indexes in R☆15Updated 4 months ago
- Multivariate Autoregressive State-Space Modeling with R☆51Updated 7 months ago
- packages for Peter Phillips and Zhentao Shi (2018): "Boosting the Hodrick-Prescott Filter"☆12Updated last year
- statespacer: State Space Modelling in R☆15Updated last year
- Functions and replication files for Peter Phillips and Zhentao Shi (2021): "Boosting: Why You Can Use the HP Filter"☆25Updated last year
- An R package for multivariate signal extraction☆14Updated 3 months ago
- Time series forecasting with Lasso-type shrinkage methods☆12Updated 2 months ago
- Leontief's Input-Output Model in R☆11Updated 3 months ago
- Penalized Quantile Regression☆15Updated last week
- The Fast Kalman Filter (FKF) package for R☆11Updated 2 weeks ago
- Set of R functions for high-dimensional econometrics☆30Updated 4 years ago