Allisterh

Economist with interest in data science and programming.

Eastern Caribbean Central BankSt Kitts and Nevis

Pinned Repositories

Applied_Bayesian_Econometrics_for-Central-Banker-in-R
Code Examples from Blake and Mumtaz Applied Bayesian Econometris for Central Bankers book
Language:MATLAB1 0 01
BVAR_Variational-inference-for-large-Bayesian-vector-autoregressions
Bayesian VAR
Language:R1 0 02
bvartools
Functions for Bayesian inference of vector autoregressive models
Language:R1 0 00
crespo-fernandez-final-replication
Replication files for Cuaresma, J. C., & Fernández, O. (2024). Explaining long-term bond yields synchronization dynamics in Europe. Economic Modelling, 106684.
Language:R1 0 00
Delta-CoVaR_Estimation
Mainly analyzed and implemented the methods of estimating Delta-CoVaR using Python3.
Language:HTML1 0 00
dynamic_factor_model-rmfd4dfm
Estimation of Impulse-Response Functions with Dynamic Factor Models: A New Parametrization
Language:R1 0 00
econometric_modelling
Econometric Modelling with Time Series data. Estimates different models using time series data.
Language:MATLAB3 0 00
Large-BVAR-Python-codes-
Python estimation of a large Bayesian VAR.
Language:Python20
replication-credit-CS-innovation
Code for a project looking to model credit supply expansion over the business cycle.
Language:Stata1 0 00
SVARnarrsign
Implementation of narrative restriction identification of SVAR models.
Language:R2 0 00

Allisterh's Repositories

Allisterh/dynamic_factor_model-rmfd4dfm
Estimation of Impulse-Response Functions with Dynamic Factor Models: A New Parametrization
Language:R1 0 00
Allisterh/VAR-STVAR-sstvars
Toolkit for structural smooth transition vector autoregressive models
Language:R1 0 0
Allisterh/actfts-Tools-for-Analysis-of-Time-Series
Autocorrelation analysis of time series
Language:R0 0
Allisterh/BEAR-toolbox
The Bayesian Estimation, Analysis and Regression toolbox (BEAR) is a comprehensive (Bayesian Panel) VAR toolbox for forecasting and policy analysis.
Language:MATLAB0 0
Allisterh/BeveridgeNelsonFilter
An interface (frontend and backend) for a unique implementation of the the Beveridge-Nelson filter.
Language:JavaScript0 0
Allisterh/bridgr-nowcasting
Bridging Time Series Frequencies for Nowcasting
Allisterh/bsvarSIGNs
Developing an R package for Bayesian Structural VARs identified by sign and narrative restrictions
Language:C++0 0
Allisterh/BVAR-bvhar
An R package to model BVHAR
Language:C++0 0
Allisterh/BVAR_naffe15
Empirical macro toolbox
Language:MATLAB0 0
Allisterh/crqa-Cross-recurrence-quantification
Cross-recurrence quantification analysis of two time-series, of either categorical or continuous values. It provides different methods for profiling cross-recurrence, i.e., only looking at the diagonal recurrent points, as well as more in-depth measures of the whole cross-recurrence plot, e.g., recurrence rate.
Allisterh/dash_inflation
Dashboard for analyzing inflation in Brazil
Allisterh/dynamic_factor_model-dpca
Dynamic principal component and dynamic factor model estimation
Language:C0 0
Allisterh/fbi-FRED-MD
Factor-Based Imputation for Missing Data using the FRED-MD database of McCracken and Ng
Language:R
Allisterh/GARCH-Copula-CoVaR
GARCH-Copula-CoVaR mode
Allisterh/GK-IJF-BVAR
Reproducibility package for "Forecasting macroeconomic data with Bayesian VARs: Sparse or dense? It depends!"
Allisterh/icaeDesign
Bundles functions that allow the creation of graphics in a style that is consistent with the corporate design of the Institute for Comprehensive Analysis of the Economy (ICAE) at the Johannes Kepler University Linz.
Language:R
Allisterh/InflationForecast
Inflation forecast with regression techniques and ML (AR, lasso, ridge, PCR, RF, VAR)
Allisterh/LSTM_RE-forecasting
App to carry out simple experiments of the use of LSTM networks in time series forecasting. It allows users to solves univariate and multivariate regression problems by testing different set of features, and comparing the effectiveness of the obtained results.
Language:R
Allisterh/macrodash
Dashboard with Czech macroeconomic data
Language:R
Allisterh/MacroModelling.jl
Macros and functions to work with DSGE models.
Language:Julia
Allisterh/pCADF_test-panel-unit-root
The code conducts pCADF unit root test for panel data
Allisterh/pvars-panel_VAR
VAR Modeling for Heterogeneous Panels
Allisterh/replication-expectations-naturalgas-pass-through
Replication files for 'Natural Gas Prices, Inflation Expectations, and the Pass-Through to Euro Area Inflation'
Allisterh/structural_dynamic_factor_model
structural dynamic factor model
Allisterh/SVAR-panelSVAR
Supports VAR, SVAR, and panel SVAR
Language:Python0 0
Allisterh/tSeriesTools-unit-roots
Functions that perform detailed unit root tests, stationarize series, forecast and assess model fit of ARIMA models
Allisterh/tstoolbox-time-series-toolbox
R package with useful tools for time series analysis
Language:R
Allisterh/Unit-roots-bootUR
R Package for Bootstrap Unit Root Tests
Language:R
Allisterh/unit_root_test_panel_data
R code for first generation unit root testing for panel data
Allisterh/Works-like-a-Sahm-Recessions
Replication code for simulations in "Works like a Sahm: recession indicators and the Sahm Rule", Ash and Nickelsburg (2024), Economics Letters. https://www.sciencedirect.com/science/article/pii/S0165176524003628