OOS - Out-of-Sample Time Series Forecasting
A comprehensive and cohesive API for the out-of-sample forecasting workflow: data preparation, forecasting - including both traditional econometric time series models and modern machine learning techniques - forecast combination, model and error analysis, and forecast visualization.
Last updated 4 years ago
econometricsforecast-combinationforecastingmachine-learning
4.95 score 9 stars 5 scripts 204 downloadssovereign - State-Dependent Empirical Analysis
A set of tools for state-dependent empirical analysis through both VAR- and local projection-based state-dependent forecasts, impulse response functions, historical decompositions, and forecast error variance decompositions.
Last updated 2 years ago
econometricsforecastingimpulse-responselocal-projectionmacroeconomicsstate-dependenttime-seriesvector-autoregression
4.74 score 11 stars 8 scripts 250 downloads