Dear all,
this message is to inform the community about the activity in our
function package repository: during the month of january 2025, 10
packages were updated to a new version and a new one was released.
The new one is
"DYconn", by C. Casoli, L. Pedini and A. Tarassow: it implements Diebold
and Yilmaz' VAR-based connectedness measures. If you know what I'm
talking about, good. If you don't , you may want to have a look at
Chiara and Luca's nice paper on the subject
<
https://link.springer.com/article/10.1007/s00180-025-01680-9>.
The updates were:
"heatmap", by Artur Tarassow (heatmap, contour and 3D plots)
"FEP", by Artur Tarassow and Sven Schreiber (Forecast Evaluation via
many measures)
"yahoo_get", by myself (Downloader of daily financial data from Yahoo)
"ARMA_IRF", again by myself (IRF for univariate ARMA models)
"gnuplot_piechart" , by Ignacio Díaz-Emparanza (A simple 2D pie chart)
"ketvals", by Francesco Valentini and myself (Kernel-based Time-Varying
Least Squares)
"StrucTiSM", by me and Sven Schreiber (Harvey-style Structural Time
Series Models)
"adalasso", also by Sven Schreiber (adaptive Lasso)
"DynMultCalc", by Allin and me (dynamic multipliers for ADL models)
"ARprobit", again by Sven Schreiber (Dynamic Probit à la Kauppi&Saikkonen)
Yes, there's quite a few of them. Several, however, contain only
cosmetic adjustments, needed to silence a warning message about
deprecated syntax for drawing bands in plots. That said, some others
contain nice substantial improvements: for example, "FEP" has some nice
improvements in the Giacomini-White test, "StrucTiSM" finally includes
auxiliary residuals (a long-awaited feature) and a nasty bug in
"adalasso" was fixed.
As usual, update and enjoy!
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Riccardo (Jack) Lucchetti
Dipartimento di Scienze Economiche e Sociali (DiSES)
Università Politecnica delle Marche
(formerly known as Università di Ancona)
r.lucchetti(a)univpm.it
http://www2.econ.univpm.it/servizi/hpp/lucchetti
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