Code Scripts for Time-Series Analysis 
Library of code scripts for estimation, forecasting, and policy analysis with time-series models!
Python code       R code       Matlab code  

Code Scripts for Filtering Models 
Library of code scripts for filtering conditional means, volatilities, and calculation of financial risk metrics!
Python code       R code       Matlab code  

Code Scripts for Structural Models 
Library of code scripts for estimation of structural causal models using instrumental variables!
Python code       R code       Matlab code  

Script package: Advanced Econometrics with Python 
Complete library (zip file) of Python scripts to accompany the book Advanced Econometrics Methods 
Python code 

Script package: Advanced Econometrics with R 
Complete library (zip file) of R scripts to accompany the book Advanced Econometrics Methods 
R code 

Script package: Advanced Econometrics with Matlab 
Complete library (zip file) of Matlab scripts to accompany the book Advanced Econometrics Methods 
Matlab 

Solutions Manual for the book: Advanced Econometrics Methods 
Complete zip file of Python code to accompany the book Advanced Econometrics Methods 
Solutions Manual

Computer code for Semiparametric score driven volatility models
Blasques, Francisco, Jiangyu Ji, and Andre Lucas (2016) ,
Journal of Computational Statistics and Data Analysis 100, 58-69.
Computer code: Ox code.

Computer code for Time Varying Transition Probabilities for Markov Regime Switching Models
Bazzi, Blasques, Koopman, Lucas (2016):
Journal of Time Series Analysis.
Computer code: R package HMM.
ReadMe file: ReadMe.R.