bvartools - Bayesian Inference of Vector Autoregressive and Error Correction Models
Assists in the set-up of algorithms for Bayesian inference of vector autoregressive (VAR) and error correction (VEC) models. Functions for posterior simulation, forecasting, impulse response analysis and forecast error variance decomposition are largely based on the introductory texts of Chan, Koop, Poirier and Tobias (2019, ISBN: 9781108437493), Koop and Korobilis (2010) <doi:10.1561/0800000013> and Luetkepohl (2006, ISBN: 9783540262398).
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bayesianbayesian-inferencebayesian-varbvarbvecmgibbs-samplingmcmcvector-autoregressionvector-error-correction-modelopenblascpp
7.06 score 34 stars 1 dependents 56 scripts 608 downloadsprais - Prais-Winsten Estimator for AR(1) Serial Correlation
The Prais-Winsten estimator (Prais & Winsten, 1954) takes into account AR(1) serial correlation of the errors in a linear regression model. The procedure recursively estimates the coefficients and the error autocorrelation of the specified model until sufficient convergence of the AR(1) coefficient is attained.
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prais-winstenprais-winsten-estimator
4.81 score 7 stars 72 scripts 1.3k downloadsoenb - Tools for the OeNB Data Web Service
Tools to access data from the data web service of the Oesterreichische Nationalbank (OeNB), <https://www.oenb.at/en/Statistics/User-Defined-Tables/webservice.html>.
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3.70 score 1 stars 1 scripts 144 downloads