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'

An R package for Bayesian Estimation of Structural Vector Autoregressive Models

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.

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.

Personal repository for hobby and work projects

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

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

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.

data segmentation and forecasting for VAR-driven factor models

Code to reproduce paper Adrian, Duarte and Iyer (2023), “The Market Price of Risk and Macro-Financial Dynamics”

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

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

Regularized estimation of high-dimensional FAVAR models

Bayesian Estimation of Structural Vector Autoregressive Models

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