R package bvarsv, providing an R/C++ implementation of the Primiceri (REStud, 2005) vector autoregressive model with time-varying parameters and stochastic volatility. Available on CRAN.
- Vignette demonstrating the package's main functions
- Replication of figures in Del Negro and Primiceri (REStud, 2015)
R package scoringRules for evaluating parameteric and simulation based forecast distributions. Available on CRAN.
- Paper on the package: Jordan, Krüger and Lerch (2018)
- Details on simulation based forecast distributions: Krüger, Lerch, Thorarinsdottir and Gneiting (2017)
My GitHub repository is located at https://github.com/FK83/.