Tools & Replication
Code
Time-Varying Phillips Curves
This tool presents time-varying estimates of the Phillips curve across multiple regions. Using kernel-weighted regression methods, it traces the relationship between inflation and unemployment over time, capturing structural shifts that static models often miss.
</Site>Unobserved Components Model
This function implements the Stock and Watson (2007) unobserved components model with stochastic volatilities. It employs a gamma random variable generator function and can be used to extract the trend of any given univariate time series.
</Code>VAR Historical Decomposition
This function takes in the output from the VAR function (refer to the vars package) and computes the vector autoregression historical decomposition. It is an abridged translation of Cesa-Bianchi's MATLAB code (see the VAR-Toolbox) designed for R.
</Code>Gaussian Error Propagation
This function determines the uncertainty of any mathematical expression containing estimated variables with uncertainties by taking partial derivatives with respect to each variable multiplied by their uncertainty and added in quadrature.
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