zhan-gao / LasForecast
Time series forecasting with Lasso-type shrinkage methods
☆13Updated 6 months ago
Alternatives and similar repositories for LasForecast:
Users that are interested in LasForecast are comparing it to the libraries listed below
- Dynamic Factor Models for R☆33Updated last week
- 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.☆28Updated last year
- Solutions to Bruce Hansen's textbook "Econometrics".☆15Updated 9 years ago
- Specification test for the propensity score☆13Updated 2 years ago
- MF-BAVART model introduced in "Nowcasting in a Pandemic using Non-Parametric Mixed Frequency VARs"☆32Updated 5 months ago
- Analysis of the Primiceri (REStud, 2005) model☆30Updated 6 months ago
- Bayesian Inference for Global Vector Autoregressive (GVAR) and Global Vector Error Correction (GVEC) Models☆15Updated last year
- packages for Peter Phillips and Zhentao Shi (2018): "Boosting the Hodrick-Prescott Filter"☆12Updated 2 years ago
- Functions for Bayesian inference of vector autoregressive and vector error correction models☆31Updated 6 months ago
- TVP panel data model featuring time-varying network dependence introduced in "Bayesian state-space modeling for analyzing heterogeneous n…☆12Updated 3 years ago
- Granger causality testing in High Dimensional Vector Autoregressive Models☆15Updated 10 months ago
- Replication code for "Log with zeros? Some problems and solutions"☆13Updated 9 months ago
- Machine Learning for Economics☆19Updated last year
- R Implementation of the Time Varying Cointegration by Bierens and Martins 2010☆10Updated 8 years ago
- Code for DID chapter☆11Updated last year
- Datasets used in the AEA 2018 Continuing Education "Machine Learming and Econometrics" (Athey and Imbens, 2018)☆12Updated 6 years ago
- State-Dependent Empirical Analysis: tools for state-dependent forecasts, impulse response functions, historical decomposition, and foreca…☆12Updated 2 years ago
- Optimized regression discontinuity designs☆29Updated 2 years ago
- Difference-in-Differences analysis of survey data to estimate causal effects☆10Updated 6 years ago
- Treatment Effects in Interactive Fixed Effects Model☆17Updated last month
- Functions and replication files for Peter Phillips and Zhentao Shi (2021): "Boosting: Why You Can Use the HP Filter"☆26Updated 2 years ago
- Toolbox for the estimation of Bayesian Global Vector Autoregressions in R.☆27Updated 3 months ago
- R package for Bayesian Vector Autoregression☆30Updated 4 years ago
- Estimating Difference-in-Differences in the Presence of Spillovers -- Algorithm in Stata, R and MATLAB☆25Updated 7 years ago
- Estimation in sharp Difference-in-Difference designs with multiple groups and periods☆20Updated 4 years ago
- Multiple Treatment Effects☆23Updated 9 months ago
- Expected Shortfall Backtesting☆12Updated last year
- The code for network autoregression model (NAR)☆10Updated 8 years ago
- R Package for data driven SVAR identification of impulse response functions☆48Updated 2 years ago