lucabrugnolini/VectorAutoregressions.jl

Vector autoregressive model in Julia

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elmarmertens/CCMMshadowrateVAR-code

replication code for „Forecasting with Shadow-Rate VARs“ by Carriero, Clark, Marcellino and Mertens

Language: MATLAB - Size: 5.56 MB - Last synced at: about 1 month ago - Pushed at: about 1 month ago - Stars: 4 - Forks: 7

wmutschl/Quantitative-Macroeconomics

Course on Quantitative Macroeconomics (Master/PhD level)

Language: TeX - Size: 1.34 MB - Last synced at: 6 months ago - Pushed at: 6 months ago - Stars: 42 - Forks: 17

ttomrp/SVAR-IV

Package and test files for SVARIV. Used for Masters thesis, "Oil Price and the Stock Market: A Structural VAR Model Identified with an External Instrument"

Language: R - Size: 6.48 MB - Last synced at: 12 months ago - Pushed at: 12 months ago - Stars: 7 - Forks: 2

bachmeil/handbook

Code, data, and additional materials for our chapter in the Handbook of Energy Economics

Language: R - Size: 379 KB - Last synced at: about 1 year ago - Pushed at: about 4 years ago - Stars: 4 - Forks: 3

VFCI/vfci

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

Language: R - Size: 78.1 KB - Last synced at: over 1 year ago - Pushed at: over 1 year ago - Stars: 3 - Forks: 2

nathaliemayor/Macroeconometrics

Macroeconometrics (Bsc/ Msc course at UCSD, R code)

Language: R - Size: 788 KB - Last synced at: over 1 year ago - Pushed at: about 3 years ago - Stars: 1 - Forks: 1

mauep2025/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

Language: MATLAB - Size: 94.7 KB - Last synced at: over 1 year ago - Pushed at: over 1 year ago - Stars: 17 - Forks: 6

anguyen1210/var-tools

Custom functions used when working with the time series data and the `vars` package

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mauep2025/Forecasting-the-Yield-Curve

The aim of this code is to show the preliminary results of the forecast for the term structure (with different maturities) of the Mexican government bonds using different types of models.

Language: MATLAB - Size: 61.5 KB - Last synced at: about 2 years ago - Pushed at: about 5 years ago - Stars: 3 - Forks: 2

mauep2025/SVAR-Analysis-with-different-Identifications

Language: MATLAB - Size: 11.7 KB - Last synced at: about 2 years ago - Pushed at: over 4 years ago - Stars: 2 - Forks: 3

darthtwin/Rprojects

SVAR in R programming language.

Language: HTML - Size: 1.07 MB - Last synced at: almost 2 years ago - Pushed at: almost 3 years ago - Stars: 0 - Forks: 0