jstriaukas

Jonas Striaukas's repositories

midasml

midasml package is dedicated to run predictive high-dimensional mixed data sampling models

Language:R41 2 12

midasmlpy

Python implementation of the midasml approach

Language:FortranGPL-2.026 4 9

dynquant

dynquant - dynamic quantile regression models: CAViaR (different specifications), MVMQCAViaR, and Mixed Data Sampling versions of these models.

Language:R8 10

midasml_mat

midasml implementation for MATLAB

Language:Fortran4 2 1

sparse_group_lasso_matlab

sparse-group LASSO estimator code translated to matlab from R package "SGL"

Language:HTML400

sqrt_lasso_rcpp

Square-root (pivotal) LASSO Rcpp implementation.

Language:MATLAB2 20

lectures

Lecture notes for EC 607

Language:HTMLMIT1 10

linearmodels

Add linear models including instrumental variable and panel data models that are missing from statsmodels.

Language:PythonNCSA1 10

nowcasting

R package for Dynamic Factor Models with mixed frequencies and unbalanced panel :chart_with_downwards_trend:

Language:R1 10

awesome-causal-inference

A curated list of causal inference libraries, resources, and applications.

MIT000

bootml

Tuning-free bootstrap for testing factor regression against factor-augmented sparse alternatives

Language:Fortran010

causal-text-papers

Curated research at the intersection of causal inference and natural language processing.

000

FactorCopula

dynamic factor copula

Language:C++010

FAS

Inference methods for Factor-Augmented Sparse Regression

Language:Fortran010

group-lasso

Group Lasso implementation following the scikit-learn API

Language:PythonMIT010

TIE

Tail index estimators

Language:R000

CrossSection

Code to accompany our paper Chen and Zimmermann (2020), "Open source cross-sectional asset pricing"

Language:StataGPL-2.0000

jstriaukas.github.io

website

Language:CSS020

learningR

Collections of learnings of how to use R

000

midasr

R package for mixed frequency time series data analysis.

Language:RNOASSERTION010

MTL-SGL

Multi-Task Learning Sparse Group Lasso Model

Language:MATLAB000

picasso

Penalized Sparse Learning Solver - Unleash the Power of Nonconvex Penalty

Language:RGPL-3.0000

predicting_bitcoin_market

Predict bitcoin values using recent news and reddit posts

Language:HTML010

Pythia.jl

Machine learning time series regressions

Language:JuliaMIT010

repec

A collection of Python scripts to download RePEc database

Language:PythonGPL-3.0010

rutils

R functions

Language:R020

sdkpub

public sdk folders for zlab and sg

Language:C010