52 projects
wqr
Wavelet Quantile Regression — A comprehensive Python toolkit for quantile-on-quantile regression, wavelet quantile regression, nonparametric quantile causality, and wavelet quantile mediation/moderation with publication-quality visualizations.
pycupfm
Panel Cointegration with Common Factors — CupFM, CupBC, Bai FM, LSDV estimators (Bai, Kao & Ng 2009)
qvar-model
Quantile Vector Autoregression: estimation, Granger causality, forecasting, and impulse responses
wavenardl
Wavelet-based Nonlinear Autoregressive Distributed Lag (W-NARDL) model for Python
twostep-nardl
Two-step Nonlinear ARDL (NARDL) estimation with FM-OLS long-run and OLS short-run dynamics
urvol
Unit Root Tests for Time Series with Non-Stationary Volatility
segmcoint
Tests for Segmented Cointegration: Kim (2003) and Martins & Rodrigues (2022)
dasycaus
Dynamic Asymmetric Causality Tests for Time Series Analysis
mtnardl1
Multiple Threshold Nonlinear Autoregressive Distributed Lag (MTNARDL) Models for Python
mtnardl
Multiple Threshold Nonlinear ARDL Models for Python
pydcce
Dynamic Common Correlated Effects Estimation for Panel Data with Cross-Sectional Dependence
dyncusum
CUSUM Tests for Structural Change in Dynamic Models
specauto
Godfrey's (1987) test strategy for discriminating between autocorrelation and misspecification in regression analysis
nardl-fourier
Nonlinear ARDL with Fourier approximation and Bootstrap cointegration tests
fourier-johansen
Johansen-type Cointegration Tests with a Fourier Function
tvrcoint
Time-Varying Cointegration Tests - Bootstrap LR tests for time-varying cointegration based on Bierens & Martins (2010) and Martins (2015)
quantilecoint
Quantile Cointegrating Regression - Implementation based on Xiao (2009) Journal of Econometrics
tvcoint
Time-Varying Cointegration Test based on Bierens and Martins (2010) with Bootstrap Tests from Martins (2016)
vecmbreak
Multiple Structural Break Detection in Vector Error Correction Models
funitroot
Fourier-augmented unit-root tests (ADF, KPSS) with F-tests for linearity
selectbreakcoint
Multiple Structural Breaks in Cointegrating Regressions: A Model Selection Approach
mixvecm
Vector Error Correction Models with Mixed I(0) and I(1) Variables
rals-unitroot
RALS Unit Root Tests: More Powerful Unit Root Tests with Non-Normal Errors
qfadf
Quantile Fourier ADF Unit Root Test - Li & Zheng (2018)
qadf
Quantile ADF Unit Root Test - Implementation of Koenker & Xiao (2004)
fwadf
Fourier Wavelet Augmented Dickey-Fuller Unit Root Test
fractionaldouble
Fourier-based Unit Root Tests with Fractional and Double Frequencies
fourier-gls
Flexible Fourier Form and Local GLS De-trended Unit Root Tests
co-eco
Quasi-likelihood ratio tests for cointegration, cobreaking, and cotrending
nearkpss
Modified KPSS Tests for Near Integration - Harris, Leybourne, and McCabe (2007)
tsai-scoretest
Score Test for First-Order Autoregressive Model with Heteroscedasticity (Tsai 1986)
boot-dw
Bootstrap tests for autocorrelation in regression models
polynomial-unitroot
Phillips Unit Root Tests for Polynomials of Integrated Processes
cpr-econometrics
Residual-based Cointegration and Non-Cointegration Tests for Cointegrating Polynomial Regressions
robcointeg
Outlier-Robust Cointegration Analysis based on Franses & Lucas (1998)
narayanpop
Narayan-Popp ADF Unit Root Test with Two Structural Breaks
qardl
Quantile Autoregressive Distributed Lag (QARDL) Models - GAUSS/MATLAB Compatible
haldrup
Cointegration analysis with I(1) and I(2) variables based on Haldrup (1994)
asymcaus
Asymmetric Causality Testing - Implementation of Hatemi-J (2012) test
rbfmvar
Residual-Based Fully Modified Vector Autoregression (RBFM-VAR) for systems with unknown mixtures of I(0), I(1), and I(2) components
multicoint
Multicointegration analysis for I(1) and I(2) time series
compoindic
Simple financial/technical compoindic demo package.
indicators-merwan
Simple financial/technical indicators demo package.
pmct
Python Module for Cointegration Tests with Two Endogenous Structural Breaks
arabictest
Professional unit root testing package with Arabic language support for econometric research
asymcauss
Asymmetric Causality Tests compatible with GAUSS implementation
boundedtest
GLS-based unit root tests for bounded time series
kapetanios-test
Unit root test with up to m structural breaks (Kapetanios, 2005)
cointhatemij
Hatemi-J Cointegration Test with Two Unknown Regime Shifts
fouriercoint
Fourier-based cointegration and unit-root testing utilities
kmtest
Kobayashi–McAleer tests for linear and logarithmic transformations of integrated processes
cointsmall
Cointegration testing with structural breaks in very small samples (Python port of R package by Dr. Merwan Roudane, Independent Researcher)
