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ManyIVsNets - Environmental Phillips Curve Analysis with Multiple Instrumental Variables and Networks

Comprehensive toolkit for Environmental Phillips Curve analysis featuring multidimensional instrumental variable creation, transfer entropy causal discovery, network analysis, and state-of-the-art econometric methods. Implements geographic, technological, migration, geopolitical, financial, and natural risk instruments with robust diagnostics and visualization. Provides 24 different instrumental variable approaches with empirical validation. Methods based on Phillips (1958) <doi:10.1111/j.1468-0335.1958.tb00003.x>, transfer entropy by Schreiber (2000) <doi:10.1103/PhysRevLett.85.461>, and weak instrument tests by Stock and Yogo (2005) <doi:10.1017/CBO9780511614491.006>.

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4.64 score 11 scripts 194 downloads

contagionchannels - Two-Stage Detection and Attribution of Cross-Border Financial Contagion Channels

Implementation of a two-stage framework for the joint detection-and-attribution of cross-border financial contagion. Stage one detects directional information flows between equity markets via Wavelet-Quantile Transfer Entropy, combining maximal-overlap discrete wavelet decomposition (Percival and Walden, 2000, ISBN:9780521685085) with the transfer-entropy estimator of Schreiber (2000) <doi:10.1103/PhysRevLett.85.461> and quantile conditioning following Han, Linton, Oka and Whang (2016) <doi:10.1016/j.jeconom.2016.03.001>. Stage two attributes each significant directional link to one of five mutually exclusive transmission channels (Trade, Financial, Geopolitical, Behavioural, Monetary Policy) through a multi-method structural identification architecture combining instrumental-variables two-stage least squares with channel-specific external instruments (Stock and Watson, 2018) <doi:10.1111/ecoj.12593>, LASSO-based instrument selection (Belloni, Chernozhukov and Hansen, 2014) <doi:10.1093/restud/rdt044>, local projections (Jorda, 2005) <doi:10.1257/0002828053828518>, heteroskedasticity-based identification (Rigobon, 2003) <doi:10.1162/003465303772815727>, and the Cinelli-Hazlett (2020) <doi:10.1111/rssb.12348> robustness-value sensitivity bound. Bundled datasets and replication scripts reproduce the headline findings of Bhandari, Parida and Sahu (2026) <doi:10.48550/arXiv.2604.26546>; the package is general-purpose and accommodates user-supplied returns and channel proxies.

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4.48 score 36 downloads

contagionchannels - Two-Stage Detection and Attribution of Cross-Border Financial Contagion Channels

Implementation of a two-stage framework for the joint detection-and-attribution of cross-border financial contagion. Stage one detects directional information flows between equity markets via Wavelet-Quantile Transfer Entropy, combining maximal-overlap discrete wavelet decomposition (Percival and Walden, 2000, ISBN:9780521685085) with the transfer-entropy estimator of Schreiber (2000) <doi:10.1103/PhysRevLett.85.461> and quantile conditioning following Han, Linton, Oka and Whang (2016) <doi:10.1016/j.jeconom.2016.03.001>. Stage two attributes each significant directional link to one of five mutually exclusive transmission channels (Trade, Financial, Geopolitical, Behavioural, Monetary Policy) through a multi-method structural identification architecture combining instrumental-variables two-stage least squares with channel-specific external instruments (Stock and Watson, 2018) <doi:10.1111/ecoj.12593>, LASSO-based instrument selection (Belloni, Chernozhukov and Hansen, 2014) <doi:10.1093/restud/rdt044>, local projections (Jorda, 2005) <doi:10.1257/0002828053828518>, heteroskedasticity-based identification (Rigobon, 2003) <doi:10.1162/003465303772815727>, and the Cinelli-Hazlett (2020) <doi:10.1111/rssb.12348> robustness-value sensitivity bound. Bundled datasets and replication scripts reproduce the headline findings of Bhandari, Parida and Sahu (2026) <doi:10.48550/arXiv.2604.26546>; the package is general-purpose and accommodates user-supplied returns and channel proxies.

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3.18 score

sochcontagion - Scale-Ordered Contagion: Spectral Theory and Tests of Heterogeneous Information Adaptation

A spectral theory of financial contagion under heterogeneous information adaptation, with the estimators and falsifiable tests it implies. Modelling both the source and the receiving market as exponential information filters yields a bi-exponential transmission response whose power spectrum is the product of two Lorentzians; the slower market supplies the binding spectral corner. Projected onto a maximal-overlap discrete wavelet basis (Percival and Walden, 2000, ISBN:9780521685085) this gives a closed-form transfer-entropy-by-scale profile and three predictions (Scale-Ordered Contagion): scale ordering by adaptation speed, shape symmetry across direction, and magnitude asymmetry. The package provides the closed-form spectrum and scale power, a profile-matching estimator that recovers adaptation rates and endogenises the fast/slow classification, the wavelet-quantile directional-gain measure built from the transfer-entropy estimator of Schreiber (2000) <doi:10.1103/PhysRevLett.85.461> with quantile conditioning (Koenker and Bassett, 1978) <doi:10.2307/1913643> and the quantile goodness-of-fit of Koenker and Machado (1999) <doi:10.1080/01621459.1999.10473882>, and the three tests with phase-randomised surrogate (Theiler, Eubank, Longtin, Galdrikian and Farmer, 1992) <doi:10.1016/0167-2789(92)90102-S> and stationary block-bootstrap (Politis and Romano, 1994) <doi:10.1080/01621459.1994.10476870> nulls. Bundled G20 equity returns and replication scripts reproduce the headline results; the package is general-purpose and accommodates user-supplied returns.

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3.00 score