zhan-gao / LasForecast
Time series forecasting with Lasso-type shrinkage methods
☆13Updated 2 months ago
Related projects ⓘ
Alternatives and complementary repositories for LasForecast
- Dynamic Factor Models for R☆30Updated last month
- R/C++ implementation of Bayes VAR models☆17Updated 5 years ago
- Dynamic factor models (DFM) in R. Easy estimation and new data contributions to changes in prediction.☆26Updated last year
- Bayesian Inference for Global Vector Autoregressive (GVAR) and Global Vector Error Correction (GVEC) Models☆14Updated last year
- Analysis of the Primiceri (REStud, 2005) model☆28Updated 2 months ago
- Set of R functions for high-dimensional econometrics☆30Updated 4 years ago
- Functions for Bayesian inference of vector autoregressive and vector error correction models☆30Updated last month
- R Package for data driven SVAR identification of impulse response functions☆44Updated last year
- R package to estimate time-varying coefficient regressions☆19Updated last year
- Trying to get "Large Time-Varying Parameter VAR" of Koop & Kurubillis (2013) done in R.☆20Updated 6 years ago
- MF-BAVART model introduced in "Nowcasting in a Pandemic using Non-Parametric Mixed Frequency VARs"☆30Updated last month
- Datasets used in the AEA 2018 Continuing Education "Machine Learming and Econometrics" (Athey and Imbens, 2018)☆12Updated 5 years ago
- R package for Bayesian Vector Autoregression☆30Updated 4 years ago
- packages for Peter Phillips and Zhentao Shi (2018): "Boosting the Hodrick-Prescott Filter"☆12Updated 2 years ago
- Toolbox for the estimation of Bayesian Global Vector Autoregressions in R.☆27Updated last month
- Collection of lecture notes and excercises for a course "Machine Learning in Econometrics"☆21Updated 8 years ago
- Code for DID chapter☆11Updated last year
- A package for shrinkage estimation of covariance matrices☆12Updated 9 months ago
- Partial re-write of the R package stochvol to allow for asymmetry (leverage).☆15Updated 3 weeks ago
- R package for Mixed-Frequency Bayesian VARs☆38Updated 3 years ago
- Solutions to Bruce Hansen's textbook "Econometrics".☆15Updated 9 years ago
- Out-Of-Sample Time Series Forecasting: OOS introduces a comprehensive framework for time series forecasting with traditional econometric …☆9Updated 3 years ago
- Leontief's Input-Output Model in R☆12Updated 5 months ago
- Optimized regression discontinuity designs☆28Updated last year
- Estimation and forecasting of VAR model with the Lasso☆26Updated last year
- An R-package for obtaining real-time data from ALFRED database☆20Updated last year
- Penalized Poisson Pseudo Maximum Likelihood☆11Updated last year
- tsDyn☆34Updated 3 weeks ago
- Functions and replication files for Peter Phillips and Zhentao Shi (2021): "Boosting: Why You Can Use the HP Filter"☆26Updated last year
- TVP panel data model featuring time-varying network dependence introduced in "Bayesian state-space modeling for analyzing heterogeneous n…☆10Updated 3 years ago