Alternatives and similar repositories for Boosted_HP_filter

Users that are interested in Boosted_HP_filter are comparing it to the libraries listed below

• dhopp1 / nowcastDFM
  Dynamic factor models (DFM) in R. Easy estimation and new data contributions to changes in prediction.
  ☆29Updated 2 years ago
• mpfarrho / mf-bavart
  MF-BAVART model introduced in "Nowcasting in a Pandemic using Non-Parametric Mixed Frequency VARs"
  ☆34Updated 3 weeks ago
• MikeWolf007 / covShrinkage
  A package for shrinkage estimation of covariance matrices
  ☆13Updated last year
• jstriaukas / midasml
  midasml package is dedicated to run predictive high-dimensional mixed data sampling models
  ☆43Updated 2 years ago
• hannes101 / TimeVaryingCointegration
  R Implementation of the Time Varying Cointegration by Bierens and Martins 2010
  ☆10Updated 9 years ago
• joergrieger / bvars
  R package for Bayesian Vector Autoregression
  ☆31Updated 5 years ago
• cykbennie / fbi
  Factor-Based Imputation for Missing Data
  ☆59Updated 10 months ago
• Reckziegel / Large-TVP-VAR
  Trying to get "Large Time-Varying Parameter VAR" of Koop & Kurubillis (2013) done in R.
  ☆25Updated 7 years ago
• lucabarbaglia / t-VAR
  Large t-Vector AutoRegressive models with volatility spillovers and networks. Code of the paper Barbaglia, Croux, Wilms (2020) "Volatilit…
  ☆19Updated 4 years ago
• onnokleen / mfGARCH
  An R package for using mixed-frequency GARCH models
  ☆71Updated 2 years ago
• GediminasB / bayesVAR_TVP
  R/C++ implementation of Bayes VAR models
  ☆21Updated 6 years ago
• ankargren / mfbvar
  R package for Mixed-Frequency Bayesian VARs
  ☆43Updated 4 years ago
• SebKrantz / dfms
  Dynamic Factor Models for R
  ☆38Updated last week
• alexanderlange53 / svars
  R Package for data driven SVAR identification of impulse response functions
  ☆50Updated last month
• FK83 / bvarsv
  Analysis of the Primiceri (REStud, 2005) model
  ☆32Updated last year
• franzmohr / bvartools
  Functions for Bayesian inference of vector autoregressive and vector error correction models
  ☆33Updated last year
• chenyang45 / BoostedHP
  packages for Peter Phillips and Zhentao Shi (2018): "Boosting the Hodrick-Prescott Filter"
  ☆12Updated 3 years ago
• zhan-gao / LasForecast
  Time series forecasting with Lasso-type shrinkage methods
  ☆13Updated 3 weeks ago
• franzmohr / bgvars
  Bayesian Inference for Global Vector Autoregressive (GVAR) and Global Vector Error Correction (GVEC) Models
  ☆17Updated 2 years ago
• kvasilopoulos / awesome-var
  A curated list of Vector Autoregression resources
  ☆61Updated 2 years ago
• pat-alt / deepvars
  Vector Autoregression augmented with deep learning.
  ☆17Updated last year
• EmanuelSommer / portvine
  Portfolio level (un)conditional risk measure estimation for backtesting using Vine Copula and ARMA-GARCH models.
  ☆23Updated last year
• romainlafarguette / granulariv
  Granular instrumental variables, using Gabaix and Koijen paper (2020)
  ☆20Updated 3 years ago
• mboeck11 / BGVAR
  Toolbox for the estimation of Bayesian Global Vector Autoregressions in R.
  ☆30Updated 3 weeks ago
• MarieTernes / hierarchical-MFVAR
  Sparse regression of mixed-frequency VectorAutoregressions
  ☆10Updated 3 years ago
• mpiktas / midasr
  R package for mixed frequency time series data analysis.
  ☆80Updated 7 months ago
• tylerJPike / sovereign
  State-Dependent Empirical Analysis: tools for state-dependent forecasts, impulse response functions, historical decomposition, and foreca…
  ☆16Updated 3 years ago
• nk027 / bvar
  Toolkit for the estimation of hierarchical Bayesian vector autoregressions. Implements hierarchical prior selection for conjugate priors …
  ☆56Updated last year
• mpfarrho / tvp-network-panel
  TVP panel data model featuring time-varying network dependence introduced in "Bayesian state-space modeling for analyzing heterogeneous n…
  ☆13Updated 4 years ago
• bsvars / bsvarSIGNs
  Bayesian SVARs with Sign, Zero, and Narrative Restrictions
  ☆25Updated 4 months ago