jeckonov / Econometrics

Filters (kalman, hodrick-prescott, moving average) together with comparison and sensitivity analysis (in notebook filters_with_parameters)+var analysis and granger causality test. Test for random walk (CE currencies using yfinance API)

Econometrics_commodities

Econometric analysis applied to commodities

1. vector autoregressions var
2. stationarity
3. granger causality
4. Gasoline in Central europe
5. Gasoline Brent relationship var
6. impulse response var (irf var)
7. Filters (Brent) Hodric-Prescott filter, Moving average, Kalman Filter, comparison
8. Sensitivity of filters to predefined parameters
9. Test for a random walk