acszczep Goto Github PK

acszczep.github.io

arch

ARCH models in Python

bvar_

Bayesian VAR toolbox for MATLAB

confidence_bands

This repository contains a Matlab suite to implement the sup-t band and other popular simultaneous confidence bands in the environment described in the paper "Simultaneous Confidence Bands: Theory, Implementation, and an Application to SVARs", by Jose Luis Montiel Olea and Mikkel Plagborg-Møller; Journal of Applied Econometrics, 2018.

diploma_favar

f-curve

Fever curve for the Swiss economy - Stable version

favar

VAR and FAVAR models in R for 8th semester project

fx-1-minute-data

HISTDATA - Full Dataset composed of 68 FX trading pairs / Simple API to retrieve 1 Minute data Historical FX Prices (up to June 2019).

inflationexpectationscode

Inflation expectations in the long run

linearmodels

Add linear models including instrumental variable and panel data models that are missing from statsmodels.

notebooks

Ipython notebooks on various topics

p2_data

pca

Principal component analysis (PCA) in Ruby

signvar_eviews

Sign Restrictions in Eviews

simultaneous_confidence_bands

Stata function to compute simultaneous sup-t confidence bands following Montiel Olea and Plagborg-Møller (2019)

stsvar

Structural Vector Autoregression with Smoth Transition in Variances

svariv

This repository contains a Matlab suite to construct weak-instrument robust confidence intervals for impulse response coefficients in Structural Vector Autoregressions identified with an external instrument. See "Inference in Structural Vector Autoregressions identified by an external instrument" by J.L Montiel Olea, J. H. Stock, and M. W. Watson (2018) .

tvargirf

GIRFs for threshold VARs from the R tsDyn package

vectorautoregressions.jl

Vector autoregressive model in Julia