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Iris Toolbox for Macroeconomic Modeling

Key functional areas

jaromir.benes@iris-toolbox.com

Functional areas

Overview of structural modeling tools

Develop and operate systems of "structural" equations

  • Model: Structural models including forward-looking nonlinear nonstationary models and DSGEs

  • Explanatory: Systems of explanatory equations, including regression equations with ARMA errors, preprocessing and postprocessing equations

  • Slang: Iris source language and preparser for writing model source codes with support for multi-file source, source code branching and looping

  • Plan: Simulation plans, conditional simulations and forecasts, and model inversions

  • +blazer: Steady-state sequential-block analyzer for optimizing the steady-state calculations in large models

Overview of time series modeling tools

Explore shorter-term empirical correlations, deal with the overfitting problem in high-dimensional models

  • VAR: Reduced-form vector autoregressions and panel vector autoregressions

  • SVAR: Structural vector autoregressions

  • Dynafit: Dynamic factor models

  • +x13: Interface to X13-Arima-Tramo-Seats

  • Univariate filters for time series objects

Overview of data management

Preprocess and postprocess time series and databanks (structs)

  • Dater and +dater: Dates convenient for evenly spaced periodicities (daily, business-daily, weekly, monthly, quarterly, half-yearly, yearly, integer)

  • Series: Time series (dynamic non-frame) manipulation

  • +databank: Databanks, batch jobs, import/export from common formats

  • Customizable databank serialization to json, csv formats

  • Interface to public database APIs: +databank.fromIMF, +databank.fromECB, +databank.fromFred packages

Overview of visualization and reporting

Visualize data on screen and create HTML reports

  • Chartpack: Structured on-screen charting

  • +rephrase: Standalone reports based on HTML/JS/CSS/JSON technology

  • +visual: Utilities for styling on-screen visualization

Overview of shrinkage estimation techniques

Shrinkage estimators (bayesian)

  • +dummy: Prior dummy observations constructor for "BVAR" estimation

  • Posterior: Posterior simulator

  • SystemPriorWrapper, SystemProperty, SystemPrior: System prior implementation for Model objects

  • +distribution: Common distribution package