Filters (kalman, hodrick-prescott, moving average) together with comparison and sensitivity analysis (in notebook filters_with_parameters)+var analysis and granger causality test. Test for random walk (CE currencies using yfinance API)
econometrics
filters
commodities
kalmanfilter
granger-causality
gasoline
stationarity
hodrick-prescott-filter
movingaverage
vectorautoregression
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Updated
May 28, 2023 - Jupyter Notebook