jstriaukas Goto Github PK
Name: Jonas Striaukas
Type: User
Company: Copenhagen Business School
Bio: Assistant professor of statistics at Copenhagen Business School
Twitter: striaukas
Location: Copenhagen, Capital Region, Denmark
Jonas Striaukas's Projects
awesome-causal-inference
A curated list of causal inference libraries, resources, and applications.
bootml
Tuning-free bootstrap for testing factor regression against factor-augmented sparse alternatives
causal-text-papers
Curated research at the intersection of causal inference and natural language processing.
crosssection
Code to accompany our paper Chen and Zimmermann (2020), "Open source cross-sectional asset pricing"
dynquant
dynquant - dynamic quantile regression models: CAViaR (different specifications), MVMQCAViaR, and Mixed Data Sampling versions of these models.
factorcopula
dynamic factor copula
fas
Inference methods for Factor-Augmented Sparse Regression
group-lasso
Group Lasso implementation following the scikit-learn API
jstriaukas.github.io
website
lectures
Lecture notes for EC 607
linearmodels
Add linear models including instrumental variable and panel data models that are missing from statsmodels.
midasml
midasml package is dedicated to run predictive high-dimensional mixed data sampling models
midasml_mat
midasml implementation for MATLAB
midasmlpy
Python implementation of the midasml approach
midasr
R package for mixed frequency time series data analysis.
mtl-sgl
Multi-Task Learning Sparse Group Lasso Model
nowcasting
R package for Dynamic Factor Models with mixed frequencies and unbalanced panel :chart_with_downwards_trend:
predicting_bitcoin_market
Predict bitcoin values using recent news and reddit posts
pythia.jl
Machine learning time series regressions
repec
A collection of Python scripts to download RePEc database
rutils
R functions
sdkpub
public sdk folders for zlab and sg
sparse_group_lasso_matlab
sparse-group LASSO estimator code translated to matlab from R package "SGL"
sqrt_lasso_rcpp
Square-root (pivotal) LASSO Rcpp implementation.
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