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Macroeconometrics
Local projection methods for impulse response estimation
A suite of Julia packages for difference-in-differences
Read and write Stata, SAS and SPSS data files with Julia tables
Repo for Yale Applied Empirical Methods PHD Course
A repository to explore the concepts of applied econometrics in the context of financial time-series.
Codes for case studies for the Bekes-Kezdi Data Analysis textbook
Financial Econometrics (MSc, Julia code)
Empirical Finance Course (PhD, Julia code)
Financial Theory Course (MSc, Julia code)
Replication of tables and figures from "Mostly Harmless Econometrics" in Stata, R, Python and Julia.
Data and Program files for Causal Inference: The Mixtape
Time varying vector autoregressive state space modeling of community interactions in a Bayesian framework
Solve and estimate Dynamic Stochastic General Equilibrium models (including the New York Fed DSGE)
Model and replications scripts for the 2020 IMF Working Paper "Foreign Exchange Interventions Rules for Central Banks: A Risk-Based Framework"
Singapore Regional Training Institution course for advanced statistical methods to forecast foreign exchange intervention triggers in a risk-based framework
StateSpaceModels.jl is a Julia package for time-series analysis using state-space models.
Sample code in MATLAB/Octave for "Kalman Filter for Beginners"
Kalman Filter book using Jupyter Notebook. Focuses on building intuition and experience, not formal proofs. Includes Kalman filters,extended Kalman filters, unscented Kalman filters, particle filte…
An implementation of the Kalman Filter, Extended Kalman Filter and Ensemble Kalman Filter used to create a note of the application of the Kalman Filter in model calibration of non-linear state-spac…
Statsmodels: statistical modeling and econometrics in Python
Hands-On-Time-Series-Analysis-with-R
Functions for Bayesian inference of vector autoregressive and vector error correction models