Name: Andrzej C. Szczepaniak
Type: User
Company: Ghent University
Bio: I am an Economics Ph.D. candidate in the Macroeconomics, Policy, and Econometrics Research Group at the Department of Economics (Ghent University).
Location: Belgium
Blog: http://www.aszczep.com/
Andrzej C. Szczepaniak's Projects
ARCH models in Python
Bayesian VAR toolbox for MATLAB
This repository contains a Matlab suite to implement the sup-t band and other popular simultaneous confidence bands in the environment described in the paper "Simultaneous Confidence Bands: Theory, Implementation, and an Application to SVARs", by Jose Luis Montiel Olea and Mikkel Plagborg-Møller; Journal of Applied Econometrics, 2018.
Fever curve for the Swiss economy - Stable version
VAR and FAVAR models in R for 8th semester project
HISTDATA - Full Dataset composed of 68 FX trading pairs / Simple API to retrieve 1 Minute data Historical FX Prices (up to June 2019).
Inflation expectations in the long run
Add linear models including instrumental variable and panel data models that are missing from statsmodels.
Ipython notebooks on various topics
Principal component analysis (PCA) in Ruby
Sign Restrictions in Eviews
Stata function to compute simultaneous sup-t confidence bands following Montiel Olea and Plagborg-Møller (2019)
Structural Vector Autoregression with Smoth Transition in Variances
This repository contains a Matlab suite to construct weak-instrument robust confidence intervals for impulse response coefficients in Structural Vector Autoregressions identified with an external instrument. See "Inference in Structural Vector Autoregressions identified by an external instrument" by J.L Montiel Olea, J. H. Stock, and M. W. Watson (2018) .
GIRFs for threshold VARs from the R tsDyn package
Vector autoregressive model in Julia