Additional linear models including instrumental variable and panel data models that are missing from statsmodels.
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Updated
May 23, 2024 - Python
Additional linear models including instrumental variable and panel data models that are missing from statsmodels.
DEPRECATED, now in sktime - companion package for deep learning based on TensorFlow
The replication data and files for Liangjun Su, Zhentao Shi and Peter Phillips (2016, Econometrica): “Identifying Latent Structures in Panel Data”
Time-series machine learning at scale. Built with Polars for embarrassingly parallel feature extraction and forecasts on panel data.
Fast Estimation of Linear Models with IV and High Dimensional Categorical Variables
R package for automation of machine learning, forecasting, model evaluation, and model interpretation
R package to easily build panel data sets from the PSID
The Random Intercept-Cross Lagged Panel Model with extensions. Code provided for Mplus and Lavaan (R).
Advanced and Fast Data Transformation in R
an R package for testing, estimating and evaluating the Panel Smooth Transition Regression (PSTR) model.
Fixedeffectmodel: panel data modeling in Python
difference-in-differences in Python
TVP panel data model featuring time-varying network dependence introduced in "Bayesian state-space modeling for analyzing heterogeneous network effects of US monetary policy"
An Extensible Suite of High-Performance and Low-Dependency Packages for Statistical Computing and Data Manipulation in R
provides R codes for all the experiments in the paper "Panel Smooth Transition Regression Models"
Solution for ENS - Societe Generale Challenge (1st place).
This repository has been transferred to jeroendmulder.github.io/RI-CLPM for easier maintenance. The Github Pages automatically redirects to the new Github Page.
The replication data and files for “Group Local Projection”
R tools related to panel data analysis and optimization
Assignments and exercises from Advanced Econometrics 1&2
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