The MacroeconomicsatRisk (MaR) approach is based on a twostep semiparametric estimation procedure that allows to forecast the full conditional distribution of an economic variable at a given horizon, as a function of a set of factors. These density forecasts are then be used to produce coherent forecasts for any downside risk measure, e.g., valueatrisk, expected shortfall, downside entropy. Initially introduced by Adrian et al. (2019) <doi:10.1257/aer.20161923> to reveal the vulnerability of economic growth to financial conditions, the MaR approach is currently extensively used by international financial institutions to provide ValueatRisk (VaR) type forecasts for GDP growth (GrowthatRisk) or inflation (InflationatRisk). This package provides methods for estimating these models. Datasets for the US and the Eurozone are available to allow testing of the Adrian et al (2019) model. This package constitutes a useful toolbox (data and functions) for private practitioners, scholars as well as policymakers.
Package details 


Author  Quentin Lajaunie [aut, cre], Guillaume Flament [aut], Christophe Hurlin [aut] 
Maintainer  Quentin Lajaunie <quentin_lajaunie@hotmail.fr> 
License  GPL3 
Version  0.1.0 
Package repository  View on CRAN 
Installation 
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