Results 11 to 20 of about 2,848 (204)
Using VARs and TVP-VARs with many macroeconomic variables [PDF]
Central European Journal of Economic Modelling and Econometrics, 2012 This paper discusses the challenges faced by the empirical macroeconomist and methods for surmounting them. These challenges arise due to the fact that macroeconometric models potentially include a large number of variables and allow for time variation ...
Koop, Gary
core +8 more sources
Privatization on Environmental Pollution in Iran: Application of TVP-VAR Method [PDF]
پژوهشهای اقتصادی, 2023 Aim and Introduction Nowadays, the environmental impacts of human activities are considered one of the limitations of economic growth. Developing countries are facing the problem of environmental degradation, which hinders economic growth and ...
Saman Ghaderi +2 more
doaj +1 more source
Quantifying interconnectedness and centrality ranking among financial institutions with TVP-VAR framework. [PDF]
Empir Econ, 2022 Financial risk is spread and amplified through the interconnectedness among financial institutions. We apply a time-varying parameter vector autoregression model to analyze the dynamic spillover effects in the Chinese financial system. We find that the 2017 house price control policies have significantly increased the risk of China's financial system ...
Xu HC, Jawadi F, Zhou J, Zhou WX.
europepmc +5 more sources
The spillover effects of military spending across superpowers using the TVP - VAR approach
Ho Chi Minh City Open University Journal of Science - Economics and Business AdministrationThe amount of money spent on military activities across superpowers globally has generally caused significant concerns regarding military conflicts, the arms race, economic growth development, security, political stability, and governance.
Duc Hong Vo +2 more
doaj +2 more sources
Simultaneous detection of gradual and abrupt structural changes in Bayesian longitudinal modelling using entropy and model fit measures. [PDF]
Br J Math Stat PsycholAbstract Although individuals may exhibit both gradual and abrupt changes in their dynamic properties as shaped by both slowly accumulating influences and acute events, existing statistical frameworks offer limited capacity for the simultaneous detection and representation of these distinct change patterns.
Li Y, Xiong X, Oravecz Z, Chow SM.
europepmc +2 more sources
Maximum likelihood estimation of a TVP-VAR [PDF]
Economics Letters, 2019 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Moura, Guilherme V., Noriller, Mateus R.
openaire +2 more sources
IET Networks, EarlyView., 2023 We utilise a metaheuristic optimisation method, inspired by nature, called the Lévy‐flight firefly algorithm (LFA), to tackle the power regulation and user grouping in the NOMA systems. Abstract The non‐orthogonal multiple access strategies have shown promise to boost fifth generation and sixth generation wireless networks' spectral efficiency and ...
Zaid Albataineh +4 more
wiley +1 more source
Bayesian Modeling of TVP-VARs Using Regression Trees
, 2022 In light of widespread evidence of parameter instability in macroeconomic models, many time-varying parameter (TVP) models have been proposed. This paper proposes a nonparametric TVP-VAR model using Bayesian additive regression trees (BART) that models the TVPs as an unknown function of effect modifiers.
Hauzenberger, Niko +3 more
openaire +2 more sources
Time-varying propagations between oil market shocks and a stock market: Evidence from Turkey
Borsa Istanbul Review, 2020 We use a Bayesian time-varying parameter vector autoregression (TVP-VAR) model to examine the time-varying transmission mechanisms between structural oil price shocks and Borsa Istanbul, Turkey's stock market (BIST).
Onur Polat
doaj +1 more source
Economies, 2023 The purpose of the research is to explore the dynamic multiscale linkage between economic policy uncertainty, equity market volatility, energy and sustainable cryptocurrencies during the COVID-19 period.
Inzamam Ul Haq +4 more
doaj +1 more source