The developer version of the Growth at Risk model used at the IMF -- still beta
The official, IMF-approved version is available in https://github.com/IMFGAR/GaR
This version contains the new functionalities I am developing, without being reviewed by colleagues. Use them at your own risk !!
https://romainlafarguette.github.io/software/
The project is split along different steps, that have to be ran sequentially:
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step 001: Group variables into partitions, to reduce parametric noise and provides more degrees of freedoms. The partitions are estimated using either Principal Component Analysis (PCA) or Partial Least Squares (PLS - also called projections on latent structures)
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step 002: estimate the quantile regressions, project GDP growth at different horizons and generate term structure and fan chart plots. Note that the fan charts rely on quantile rearrangement
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step 003: fit the sampled density using kernel and parametric densities. Best parametric family is assessed using AIC, BIC or RSS criteria.
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step 004: fit the density using Gaussian mixtures
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step 005: measure the performance of the density forecasts using PIT, logscores and entropy tests
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step 006: try different quantiles interpolation methods. This script is not very important for a "standard" GaR use, it was rather to test the robustness of the rearrangement approach in quantiles uncrossing and sampling.