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Dynamic Common Correlated Effects Estimation Use dcce With (In) R Software
Fast unit root tests (ADF, DFGLS, PP, KPSS) for R, powered by Rust
DataTables 2.x for R via htmlwidgets with Shiny and Extensions
Quarto Article Template for The Journal of Data Science
Quarto template for the Journal of Statistical Software
RevealJS extension that adds animated, color-coded checklist fragments that draw in with an SVG stroke animation as each item is revealed.
An extension that uses the roughnotation javascript library to add animated annotations to revealjs documents.
Macro forecasting horse race: VAR, BVAR-Minnesota, LASSO/Ridge/ElasticNet VARs judged by relative-RMSE with Clark-West, Diebold-Mariano and Model Confidence Set
❗ This is a read-only mirror of the CRAN R package repository. VARcheck — Visual Diagnostic Checks for Vector Autoregressive Models. Homepage: https://github.com/bsiepe/VARcheck, https://bsiepe.git…
Self-contained R replication packages for 11 Bayesian time-series models (VARs, threshold VECM, TVP-VARs, BNP / BART nonparametric VARs). Each driver runs end-to-end on simulated data with truth ov…
Quantile VAR analysis of geopolitical uncertainty and credit spreads
Tools for conditional and unconditional forecast dominance testing
R package designed to analyze the forecasting horizon of ecological and genomic regression models
❗ This is a read-only mirror of the CRAN R package repository. ErrorTracer — Bayesian Error Propagation and Forecast Uncertainty Decomposition
❗ This is a read-only mirror of the CRAN R package repository. icomb — Forecasting Hierarchical Time Series Using Information Combination. Homepage: https://shanikalw.github.io/icomb/, https://gith…
Forecasting hierarchical and grouped time series using information combination
Code for an MSc thesis: neural additive and factor-augmented extensions of MIDAS regression for corporate survival forecasting
The Macroeconomic Forecasting Platform
Fair macroeconomic forecasting benchmarking package
A Python package for time series forecasting and economic analysis, providing tools for simulation, estimation, and model evaluation with a focus on scalability and research applications.
Oil Price Shocks and Stock Market Responses: A Replication of Kilian & Park (2009) with Extensions to Canada
Replication and extension of Kilian (2009) using a structural VAR model that incorporates expected crude oil inventories to improve the identification of precautionary demand shocks and their effec…
Replication in Python and extension of Känzig (2021)’s oil supply news Proxy-VAR framework for the US and euro area, with updated data, split proxies, and extended macro-financial specifications.
Replication of Gupta, A., & Imas, A. (2025). "Can a Transformer Learn Economic Relationships?" https://arpitrage.substack.com/p/can-a-transformer-learn-economic
Stata and R code to replicate the analysis of the Hodrick-Prescott (HP) Filter, Hamilton Filter, and Growth Rates for macroeconomic time series.
Replication of Varian (2014) "Big Data: New Tricks for Econometrics", LASSO variable selection identifying important predictors of economic growth across 72 countries.