Alternatives and similar repositories for Boosted_HP_filter:

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

• GediminasB / bayesVAR_TVP
  R/C++ implementation of Bayes VAR models
  ☆17Updated 5 years ago
• SebKrantz / dfms
  Dynamic Factor Models for R
  ☆31Updated 3 months ago
• dhopp1 / nowcastDFM
  Dynamic factor models (DFM) in R. Easy estimation and new data contributions to changes in prediction.
  ☆26Updated last year
• mpfarrho / mf-bavart
  MF-BAVART model introduced in "Nowcasting in a Pandemic using Non-Parametric Mixed Frequency VARs"
  ☆30Updated 2 months ago
• ankargren / mfbvar
  R package for Mixed-Frequency Bayesian VARs
  ☆38Updated 3 years ago
• franzmohr / bvartools
  Functions for Bayesian inference of vector autoregressive and vector error correction models
  ☆30Updated 3 months ago
• Reckziegel / Large-TVP-VAR
  Trying to get "Large Time-Varying Parameter VAR" of Koop & Kurubillis (2013) done in R.
  ☆20Updated 6 years ago
• FK83 / bvarsv
  Analysis of the Primiceri (REStud, 2005) model
  ☆28Updated 4 months ago
• chenyang45 / BoostedHP
  packages for Peter Phillips and Zhentao Shi (2018): "Boosting the Hodrick-Prescott Filter"
  ☆11Updated 2 years ago
• MatthieuStigler / tsDyn
  tsDyn
  ☆34Updated 2 months ago
• joergrieger / bvars
  R package for Bayesian Vector Autoregression
  ☆30Updated 4 years ago
• franzmohr / bgvars
  Bayesian Inference for Global Vector Autoregressive (GVAR) and Global Vector Error Correction (GVEC) Models
  ☆14Updated last year
• hannes101 / TimeVaryingCointegration
  R Implementation of the Time Varying Cointegration by Bierens and Martins 2010
  ☆10Updated 8 years ago
• LeopoldoCatania / GAS
  GAS models
  ☆34Updated 3 years ago
• chrstdanne / VARsignR
  Estimating VARs using sign restrictions in R
  ☆19Updated 8 years ago
• bsvars / bsvarSIGNs
  Bayesian SVARs with Sign, Zero, and Narrative Restrictions
  ☆12Updated last week
• MikeWolf007 / covShrinkage
  A package for shrinkage estimation of covariance matrices
  ☆12Updated 11 months ago
• zhan-gao / LasForecast
  Time series forecasting with Lasso-type shrinkage methods
  ☆13Updated 4 months ago
• alexanderlange53 / svars
  R Package for data driven SVAR identification of impulse response functions
  ☆45Updated last year
• gabrielrvsc / HDeconometrics
  Set of R functions for high-dimensional econometrics
  ☆30Updated 4 years ago
• mboeck11 / BGVAR
  Toolbox for the estimation of Bayesian Global Vector Autoregressions in R.
  ☆27Updated last month
• patrick-weiss / PortfolioSorts_NSE
  Code for "Methodological Uncertainty in Portfolio Sorts".
  ☆17Updated 7 months ago
• lucabarbaglia / t-VAR
  Large t-Vector AutoRegressive models with volatility spillovers and networks. Code of the paper Barbaglia, Croux, Wilms (2020) "Volatilit…
  ☆19Updated 3 years ago
• nk027 / bvar
  Toolkit for the estimation of hierarchical Bayesian vector autoregressions. Implements hierarchical prior selection for conjugate priors …
  ☆51Updated 2 months ago
• lcallot / lassovar
  Estimation and forecasting of VAR model with the Lasso
  ☆27Updated last year
• icasas / tvReg
  R package to estimate time-varying coefficient regressions
  ☆19Updated last year
• kvasilopoulos / awesome-var
  A curated list of Vector Autoregression resources
  ☆54Updated last year
• bdemeshev / bvarr
  r package for bayesian VARs
  ☆22Updated 7 years ago
• AdaemmerP / lpirfs
  ☆43Updated last year
• KevinKotze / tsm
  Time Series Modelling
  ☆24Updated 5 months ago