favar

There are 0 repository under favar topic.

• Factor-augmented-vector-autoregressive-FAVAR-WINRATS-code-package-

  lyx66 / Factor-augmented-vector-autoregressive-FAVAR-WINRATS-code-package-

  A powerful & convenient package for a two-step estimation method of the Factor augmented VAR (FAVAR) model, which is mainly based on RATS 10.0 .

  favartime-seriesimpluse-responsevarratsboostrap-after-boostrap
  Language:Jupyter Notebook 12

• justinjjlee / julia-FactorAugmentedVectorAR.jl

  Implementation of Factor-augmented Vector Autoregressive process (FAVAR(p)).

  juliatime-seriestime-series-analysisfactor-analysisfactorizationvector-autoregressivefavar
  Language:Julia 1