{mvgam} R 📦 to fit Dynamic Bayesian Generalized Additive Models for multivariate modeling and forecasting

Bayesian Estimation of Structural Vector Autoregressive Models

Functions for Bayesian inference of vector autoregressive and vector error correction models

State-Dependent Empirical Analysis: tools for state-dependent forecasts, impulse response functions, historical decomposition, and forecast error variance decomposition.

Regularized estimation of high-dimensional FAVAR models

Implementation of the FNETS methodology proposed in Barigozzi, Cho and Owens (2024) for network estimation and forecasting of high-dimensional time series

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.

Codes for BVHAR Research

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'

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.

Research project: The Impact of Uncertainty on Monetary Transmission - Evidence from the US

Research project: Could Interest Rate Hikes Burst The Housing Bubble?

VAR and Local Projections

An R package for Bayesian Estimation of Structural Vector Autoregressive Models

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.

data segmentation and forecasting for VAR-driven factor models