Causal Analysis for Macroeconomic Time Series (ECM-MARS, BSTS, Bayesian GLM-AR(1))

Implements three complementary pipelines for causal analysis on macroeconomic time series: (1) Error-Correction Models with Multivariate Adaptive Regression Splines (ECM-MARS), (2) Bayesian Structural Time Series (BSTS), and (3) Bayesian GLM with AR(1) errors validated with Leave-Future-Out (LFO). Heavy backends (Stan) are optional and never used in examples or tests.

EconCausal

An R package for econometric causal inference with emphasis on temporal stability, implementing three complementary methodologies:

1. Bayesian GLM with AR(1) errors (BGLM-AR1)
2. Error Correction Models with MARS (ECM-MARS)
3. Bayesian Structural Time Series (BSTS)

Installation

# From CRAN
install.packages("EconCausal")

# From GitHub
remotes::install_github("IsadoreNabi/EconCausal")

# If vignette building fails on Windows:
remotes::install_github("IsadoreNabi/EconCausal", build_vignettes = FALSE)