R Observatory: Metrics for matrisk version 0.1.0

Balamuta, James Joseph

doi:10.5281/zenodo.21843040

matrisk

0.1.0Package record

Macroeconomic-at-Risk

0packages depend

2.1Kdownloads / year

–test coverage

13/13flavors OK

Overview

About

Maintained by Quentin LajaunieCRAN page ↗

The Macroeconomics-at-Risk (MaR) approach is based on a two-step semi-parametric 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., value-at-risk, 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 Value-at-Risk (VaR) type forecasts for GDP growth (Growth-at-Risk) or inflation (Inflation-at-Risk). 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.

Install

R (CRAN)Ubuntu (r2u)Fedora (COPR)openSUSE (OBS)

install.packages("matrisk", repos = "https://cloud.r-project.org/")

Installs the current CRAN release. Prebuilt binaries on Windows and macOS.

Release

# enable cranapt (r2u) if it is not already set up, then install
grep -rqs r2u.stat.illinois.edu /etc/apt/sources.list /etc/apt/sources.list.d/ \
  || curl -fsSL https://raw.githubusercontent.com/eddelbuettel/r2u/master/inst/scripts/add_cranapt_noble.sh | sudo bash
sudo apt install -y r-cran-matrisk

Fast Ubuntu binaries via r2u (no compilation). The cranapt setup runs once and is skipped when it is already enabled. We list this channel from recorded r2u download activity rather than from a live index of the repository, so treat it as last known rather than guaranteed.

bspm (used by r2u) also needs make: sudo apt install make

# enable the iucar/cran COPR if it is not already present, then install
ls /etc/yum.repos.d/*iucar*cran*.repo >/dev/null 2>&1 \
  || sudo dnf copr enable -y iucar/cran
sudo dnf install -y R-CRAN-matrisk

RPMs from the iucar/cran COPR, rebuilt from CRAN.

For install.packages() integration in R, also: sudo dnf install R-CoprManager

# add the autoCRAN OBS repo (Tumbleweed) if it is missing, then install
zypper -q lr | grep -qi autoCRAN \
  || sudo zypper addrepo https://download.opensuse.org/repositories/devel:/languages:/R:/autoCRAN/openSUSE_Tumbleweed/devel:languages:R:autoCRAN.repo
sudo zypper install -y R-matrisk

RPMs auto-built from CRAN on openSUSE OBS (Tumbleweed). We list this channel from recorded autoCRAN download activity rather than from a live index of the repository, so treat it as last known rather than guaranteed.

Health

CRAN checks

13OK

CRAN check page ↗

Slowest check: 3.1 min · r-oldrel-macos-x86_64

Status changes

OK13 OK2026-08-05
NOTE12 OK, 1 NOTE2026-08-01
OK14 OK2026-03-10

Advisories

none known

How this is measured·How advisories are found

Documentation

In release 0.1.0

READMENoVignettesNoNEWSNoCitation fileNoWebsitenot declared in DESCRIPTION

Help pages: 7
Examples that run: 80%4 run in a plain check · 1 only when donttest examples are enabled (R CMD check --as-cran)
Exported functions with examples: 100%
Documented parameters: 100%
Return-value docs: 100%
Help pages citing references: 71%

How these are measured

Downloads

2.1K

CRAN downloads in the past year

Rank #22,258 · ~6/day · ~175/mo

Releases R versions

Daily download trend is not available in this view yet.

21330 days

59490 days

2.1K1 year

Compare downloads with other packages →

Also on71 r2u2 autocran

How downloads are counted

Dependencies

Declared dependencies

4 external dependencies (excludes base and recommended)

Installing matrisk adds 9 packages (3 with compiled code, 4.2 MB of source tarballs). Heaviest: plot3D 1.8 MB, quantreg 903 KB, sn 806 KB.

Depends (1)

R >= 2.10

Imports (5)

statsquantreg sn dfoptim plot3D

LinkingTo (0)

none

Suggests (0)

none

Enhances (0)

none

Dependency license breakdown →

Reverse dependencies

0direct

0indirect

Nothing depends on this yet.

How these are counted

Code & Tests

Datasets

People & History

People (3)

Quentin Lajaunie

Author, Maintainer since 0.1.0 (2023)

Guillaume Flament

Author

Christophe Hurlin

Author

Releases (1)

R
R 4.6.0 released · 2026-04-24
R
R 4.5.0 released · 2025-04-11
R
R 4.4.0 released · 2024-04-24
0.1.0Latest
record
2023-05-02 · current release
R
R 4.3.0 released · 2023-04-21

Package metadata

First published: 2023-05-02
Total releases: 1 / 3 yrs
License: GPL-3 OSI
Minimum R: ≥ 2.10
Bundled data: 2.7 KB / 2 files
Download size: 9.8 KB

Cite

Cite this package

Run in R for the authors' preferred citation:

citation("matrisk")

Format

Lajaunie, Q., Flament, G., & Hurlin, C. (2023). matrisk: Macroeconomic-at-Risk (Version 0.1.0) [Computer software]. https://doi.org/10.32614/CRAN.package.matrisk

This package has no citation file, so citation() returns this entry built from DESCRIPTION.

Cite the R Observatory

For a number measured here: a download total, a coverage figure, an archival date.

Format

APA

Balamuta, J. J. (2026). R Observatory: Metrics for matrisk version 0.1.0 [Data set]. HJJB, LLC. Data release v2026-10-23. https://doi.org/10.5281/zenodo.21843040

From data release v2026-10-23, which the citation names so these numbers can be found later. More on citing and the projects behind them.

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