Econometrics

Filters (kalman, hodrick-prescott, moving average) together with comparison and sensitivity analysis (in notebook filters_with_parameters)+var analysis and granger causality test. Test for random walk (CE currencies using yfinance API)

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/learn @jeckonov/Econometrics

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Econometrics_commodities

Econometric analysis applied to commodities

vector autoregressions var
stationarity
granger causality
Gasoline in Central europe
Gasoline Brent relationship var
impulse response var (irf var)
Filters (Brent) Hodric-Prescott filter, Moving average, Kalman Filter, comparison
Sensitivity of filters to predefined parameters
Test for a random walk

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