mpfarrho Goto Github PK
Name: Michael Pfarrhofer
Type: User
Company: WU Vienna
Bio: My research interests include macroeconomics and econometric methods.
Twitter: mpfarrho
Location: Vienna
Blog: mpfarrho.github.io
Michael Pfarrhofer's Projects
gp-midas
Nowcasting with GP-MIDAS
idhet-mix
Mixture factor model used in "Financial markets and legal challenges to unconventional monetary policy"
mf-bavart
MF-BAVART model introduced in "Nowcasting in a Pandemic using Non-Parametric Mixed Frequency VARs"
mpfarrho.github.io
Personal website
qf-bart
QF-BART model introduced in "Investigating Growth-at-Risk Using a Multicountry Non-parametric Quantile Factor Model"
tvp-gvar-fsvm
TVP-GVAR-FSVM model proposed in "Measuring international uncertainty using global vector autoregressions with drifting parameters"
tvp-network-panel
TVP panel data model featuring time-varying network dependence introduced in "Bayesian state-space modeling for analyzing heterogeneous network effects of US monetary policy"
tvp-qr
TVP-QR model with time-varying scale parameter, proposed in "Modeling tail risks of inflation using unobserved component quantile regressions"
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