Packages
Out-Of-Sample Time Series Forecasting
The OOS package introduces a structured and automated approach to out-of-sample time series forecasting, a common, important, and subtle task. In many ways, this package is merely a wrapper for the excellent extant time series forecasting routines on CRAN - including both traditional econometric time series models and modern machine learning techniques. However, this package additionally provides a modern and comprehensive set of forecast combination techniques and forecast analysis tools.
State-Dependent Empirical Analysis
The sovereign package introduces a set of tools for state-dependent empirical analysis through both VAR- and local projection-based state-dependent forecasts, impulse response functions, and forecast error variance decomposition.