rbagd / dynfactoR
Dynamic factor model estimation for R
☆23Updated 2 years ago
Alternatives and similar repositories for dynfactoR:
Users that are interested in dynfactoR are comparing it to the libraries listed below
- GAS models☆34Updated 3 years ago
- KFAS: R Package for Exponential Family State Space Models☆64Updated 6 months ago
- r package for bayesian VARs☆22Updated 7 years ago
- tsDyn☆34Updated 4 months ago
- Convolution-type Smoothed Quantile Regression☆21Updated 2 years ago
- Expected Shortfall Backtesting☆12Updated last year
- R package for Mixed-Frequency Bayesian VARs☆38Updated 3 years ago
- Dynamic Factor Models for R☆31Updated 5 months ago
- R package for fast rolling and expanding linear regression models☆22Updated 2 years ago
- Bayesian Generalized Linear Models with Time-Varying Coefficients☆44Updated 6 months ago
- Dimension Reduction Methods for Multivariate Time Series☆58Updated 5 months ago
- R package to estimate time-varying coefficient regressions☆19Updated last year
- Multivariate Time Series Models: VAR, SVAR and SVEC☆43Updated 2 years ago
- Penalized Quantile Regression☆17Updated last month
- This package provides functions for computing One-Sided Dynamic Principal Components, a novel multivariate time series dimension reductio…☆9Updated 11 months ago
- Univariate GARCH models in R☆26Updated 2 months ago
- Partial re-write of the R package stochvol to allow for asymmetry (leverage).☆15Updated 4 months ago
- R/C++ implementation of Bayes VAR models☆17Updated 5 years ago
- Toolkit for the estimation of hierarchical Bayesian vector autoregressions. Implements hierarchical prior selection for conjugate priors …☆51Updated 4 months ago
- Leontief's Input-Output Model in R☆14Updated 9 months ago
- An R package for multivariate signal extraction☆13Updated 4 months ago
- R package for mixed frequency time series data analysis.☆77Updated 2 years ago
- R package for doubly robust estimates of causal effects in high-dimensions using flexible Bayesian methods☆26Updated 3 months ago
- R Implementation of the Time Varying Cointegration by Bierens and Martins 2010☆10Updated 8 years ago
- Set of R functions for high-dimensional econometrics☆31Updated 4 years ago
- Functions for Bayesian inference of vector autoregressive and vector error correction models☆31Updated 5 months ago
- Full Bayesian Inference for Hidden Markov Models☆41Updated 6 years ago
- Bayesian Multivariate GARCH☆17Updated 4 months ago
- R package for Dynamic Factor Models with mixed frequencies and unbalanced panel☆102Updated 2 years ago
- Toolbox for the estimation of Bayesian Global Vector Autoregressions in R.☆27Updated 3 months ago