yukai-yang / PSTRLinks
an R package for testing, estimating and evaluating the Panel Smooth Transition Regression (PSTR) model.
☆20Updated last month
Alternatives and similar repositories for PSTR
Users that are interested in PSTR are comparing it to the libraries listed below
Sorting:
- R/C++ implementation of Bayes VAR models☆21Updated 5 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
- Bayesian Inference for Global Vector Autoregressive (GVAR) and Global Vector Error Correction (GVEC) Models☆17Updated last year
- Out-Of-Sample Time Series Forecasting: OOS introduces a comprehensive framework for time series forecasting with traditional econometric …☆10Updated 4 years ago
- Dynamic Factor Models for R☆38Updated last month
- Leontief's Input-Output Model in R☆16Updated last year
- Time Series Modelling☆24Updated 11 months ago
- packages for Peter Phillips and Zhentao Shi (2018): "Boosting the Hodrick-Prescott Filter"☆12Updated 2 years ago
- ☆11Updated 9 years ago
- Estimation and forecasting of VAR model with the Lasso☆31Updated 2 months ago
- This package provides functions for computing One-Sided Dynamic Principal Components, a novel multivariate time series dimension reductio…☆9Updated last year
- Time series forecasting with Lasso-type shrinkage methods☆13Updated 3 weeks ago
- Dynamic factor models (DFM) in R. Easy estimation and new data contributions to changes in prediction.☆28Updated 2 years ago
- Granger causality testing in High Dimensional Vector Autoregressive Models☆16Updated last year
- R Code Examples Multi-dimensional/Panel Data☆22Updated last year
- R wrapper for nowcast_lstm Python library. Long short-term memory neural networks for economic nowcasting.☆13Updated last year
- R package to estimate time-varying coefficient regressions☆19Updated last year
- R data sets for "Principles of Econometrics" by Hill, Griffiths, and Lim, 4e, Wiley☆43Updated 9 years ago
- R code to perform the Lee Strazicich unit root test☆9Updated 7 years ago
- R Implementation of the Time Varying Cointegration by Bierens and Martins 2010☆10Updated 9 years ago
- Functions for Bayesian inference of vector autoregressive and vector error correction models☆33Updated 9 months ago
- State-Dependent Empirical Analysis: tools for state-dependent forecasts, impulse response functions, historical decomposition, and foreca…☆12Updated 2 years ago
- This is the replication code for the paper: Heimberger, Philipp (2022): "Does public debt reduce economic growth?", Journal of Economic S…☆16Updated 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
- Toolbox for the estimation of Bayesian Global Vector Autoregressions in R.☆29Updated 7 months ago
- Shiny App to Search for Economics Articles with Data Supplements☆9Updated 3 years ago
- midasml package is dedicated to run predictive high-dimensional mixed data sampling models☆39Updated last year
- Trying to get "Large Time-Varying Parameter VAR" of Koop & Kurubillis (2013) done in R.☆24Updated 7 years ago
- Optimized regression discontinuity designs☆29Updated 2 years ago
- Datasets used in the AEA 2018 Continuing Education "Machine Learming and Econometrics" (Athey and Imbens, 2018)☆12Updated 6 years ago