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midasml-1

midasml package is dedicated to run predictive high-dimensional mixed data sampling models

midasr

R package for mixed frequency time series data analysis.

monetary_networks

Replication code for the paper "The transmission of monetary shocks in production networks"

mpshocks

Using Romer and Romer (2004) monetary policy shocks I study the effects of monetary policy shocks on different demographic groups in the labor market.

msbvar

Patrick Brandt:Markov-Switching, Bayesian, Vector Autoregression Models

mscovar

msgarch_comp

Comparison of Markov-Switching GARCH models, namely symmetric GARCH, EGARCH, GJR-GARCH, performances in Value-at-Risk forecasting.

netlogor

:exclamation: This is a read-only mirror of the CRAN R package repository. NetLogoR — Build and Run Spatially Explicit Agent-Based Models. Homepage: https://netlogor.predictiveecology.org, https://github.com/PredictiveEcology/NetLogoR/, https://groups.google.com/g/netlogor Report bugs for this package: https://github

nowcastdfm

Dynamic factor models (DFM) in R. Easy estimation and new data contributions to changes in prediction.

nowcasting-1

R package for Dynamic Factor Models with mixed frequencies and unbalanced panel :chart_with_downwards_trend:

nowcasting_approche-directe

Package pour la prévision de court-terme du PIB / Package for forecasting & nowcasting GDP growth

nowcastinggdp

Research project where we nowcast GDP for South Africa

nowcastlstm

R wrapper for nowcast_lstm Python library. Long short-term memory neural networks for economic nowcasting.

outputgapmv

Codes for paper on output gap estimation for the Maldives.

panelr-1

:exclamation: This is a read-only mirror of the CRAN R package repository. panelr — Regression Models and Utilities for Repeated Measures and Panel Data. Homepage: https://panelr.jacob-long.com Report bugs for this package: https://github.com/jacob-long/panelr

panelvar

Experimental tools (R) on pVAR models for timely estimates

penppml

Penalized Poisson Pseudo Maximum Likelihood

pgqr

Penalized Generative Quantile Regression

phillips-multiplier

Replication of "The Phillips Multiplier" (Barnichon and Mesters, JME 2020)

plm

Panel Data Econometrics with R

psymonitor

Real Time Monitoring of Asset Markets with R

pvecm-1

Estimate VECM for heterogeneous panels as in Pedroni 2019 (10.1016/b978-0-12-814367-4.00010-1) and Canning and Pedroni 2008 (10.1111/j.1467-9957.2008.01073.x).

python-fuzzy-cognitve-maps

Using fuzzy cognitive maps for multivariate data forecasting in Python 3.8.

qardl

:exclamation: This is a read-only mirror of the CRAN R package repository. Qardl — Quantile Autoregressive Distributed Lag Model

qfa

The repo will contain an R code to perform (a) quantile-frequency analysis (QFA) of time series data, (b) spectral estimation, (c) functional principal component analysis (FPCA), and (d) time series classification based on the QFA-FPCA features.

qgarch

R programs for "Quantile autoregressive conditional heteroscedasticity"

quantile_regression

Quantile and CDF regression (thresholded logistic) via monotonic networks.

replication-creditsentiments

replication_central_bank_communication

Replication materials. Máté Á, Sebők M, Barczikay T (2021) The effect of central bank communication on sovereign bond yields: The case of Hungary. PLoS ONE 16(2): e0245515. https://doi.org/10.1371/journal.pone.0245515

replicationcrisis

Code for "Is There a Replication Crisis in Finance" by Jensen, Kelly and Pedersen (2021)