Functions for Bayesian inference of vector autoregressive and vector error correction models
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Updated
Jan 14, 2024 - R
Functions for Bayesian inference of vector autoregressive and vector error correction models
{mvgam} R 📦 to fit Dynamic Bayesian Generalized Additive Models for time series analysis and forecasting
Regularized estimation of high-dimensional FAVAR models
Bayesian Estimation of Structural Vector Autoregressive Models
Implementation of the FNETS methodology proposed in Barigozzi, Cho and Owens (2024) for network estimation and forecasting of high-dimensional time series
State-Dependent Empirical Analysis: tools for state-dependent forecasts, impulse response functions, historical decomposition, and forecast error variance decomposition.
Code to reproduce paper Adrian, Duarte and Iyer (2023), “The Market Price of Risk and Macro-Financial Dynamics”
Personal repository for hobby and work projects
Repository for: Chiovaro, M., Windsor, L. C., & Paxton, A. (2021). Vector Autoregression, Cross-Correlation, and Cross-Recurrence Quantification Analysis: A Case Study in Social Cohesion and Collective Action. In CogSci.
Research project: The Impact of Uncertainty on Monetary Transmission - Evidence from the US
data segmentation and forecasting for VAR-driven factor models
Research project: Could Interest Rate Hikes Burst The Housing Bubble?
An R package to model BVHAR
VAR and Local Projections
Estimates latent class vector-autoregressive models via EM algorithm on time-series data for model-based clustering and classification. Includes model selection criteria for selecting the number of lags and clusters.
Analysis scripts and randomly generated data for Suicide and Life-Threatening Behavior paper: 'Identifying person-specific coping responses to suicidal urges: A case series analysis and illustration of the idiographic method'
An R package for Bayesian Estimation of Structural Vector Autoregressive Models
Codes for BVHAR Research
Estimação de modelos VAR(3) e VAR(10) para 91 países no período de 1960 a 2019, a fim de testar a causalidade de Granger entre as variáveis de Poupança Interna Bruta e crescimento do Produto Interno Bruto per capita.
Convenient functions to generate multivariate time series in the vector autoregressive framework.
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