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applied-methods-phd

Repo for Yale Applied Empirical Methods PHD Course

appliedeconometrics

安徽大学-许立文-Stata、计量经济学、DSGE

bayesvar_tvp

R/C++ implementation of Bayes VAR models

ceeea2.0-cge

connectednessapproach

ebci_matlab

Matlab code for robust empirical Bayes confidence intervals

frequencyconnectedness

Spectral decomposition of spillover measures

gabauerdavid-connectednessapproach

global-oil-market

This code show the SVAR results from the paper: "Lutz Kilian, 2009. "Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market," American Economic Review, vol. 99(3), pages 1053-1069, June. Specifically: Cholesky Decomposition, Structural Impulse Response, Historical Evolution of the Structural Shock, Historical Decompositio of the Structural Shocks and the Forecast Error Variance Decomposition

grangercausalitytestinquantile

het_agents_bayes

Estimation of heterogeneous agent models using both macro and micro data

lassovar

Estimation and forecasting of VAR model with the Lasso

lp_var_simul

Simulation study of Local Projections, VARs, and related estimators

mfe-toolbox

midasr

R package for mixed frequency time series data analysis.

midasvares

msbvar

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

portfoliotechniques

projcode4yangliu18aug

sample estimation procedures for different cases of DCC-MIDAS model; written in MatLab

qardl

This is a sample code for estimating Quantile Autoregressive Distributed Lag Model.

quantile_coherency_replication

R code to replicate the figures in arXiv:1510.06946.

quantspec

Quantile-based Spectral Analysis of Time Series

rcovarcopula

R Code CoVaR with Copula

rdocumentation-2.0

📚 RDocumentation provides an easy way to search the documentation for every version of every R package on CRAN and Bioconductor.

spider-baiduindex

百度指数、百度搜索、百度登录、天眼查等数据SDK

svma_iv

Inference in SVMA models identified by external instruments/proxies

systemicrisk

A framework for systemic risk valuation and analysis.

tenet

TENET: Tail-Event driven NETwork Risk

tspdlib

GAUSS time series and panel unit root tests compiled by Saban Nazlioglu

var-toolbox

Ambrogio Cesa-Bianchi's VAR Toolbox