Results 281 to 290 of about 14,734,722 (312)

VAR modelling and Haavelmo's probability approach to macroeconomic modelling

Empirical Economics, 1993
Some recent developments in the macroeconometric analysis of time series are discussed in the light of Haavelmo (1944). Experimental design in econometrics is discussed and related to the case of passive observation. The general ideas are illustrated with a analysis of the long-run and short-run structure in Danish monetary data.
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Structural VAR models

in corso di ...
AMISANO, Giovanni Gabriele, GIANNINI C.
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Dynamic VAR model-based control charts for batch process monitoring

European Journal of Operational Research, 2020
Marcio Valk
exaly  

Trend in Markov Switching VAR Models

We consider deterministic time trends in Markov Switching Vector Autoregressive processes, and propose estimation of the parameters by using a modified Expectation-Maximization (EM) algorithm. Then we derive consistency and the asymptotic distribution of the obtained estimators.
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Panel VAR models with spatial dependence [PDF]

, 2002
I consider a panel vector-autoregressive model with cross-sectional dependence of the disturbances characterized by a spatial autoregressive process. I propose a three-step estimation procedure. Its first step is an instrumental variable estimation that ignores the spatial correlation.
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Exploring the influence of economic policy uncertainty on the relationship between tourism and economic growth with an MF-VAR model

Tourism Economics, 2021
Yonglian Wang, Han Liu
exaly  

Consistent estimation of global VAR models [PDF]

, 2009
In this paper, I propose an instrumental variable (IV) estimation procedure to estimate global VAR (GVAR) models and show that it leads to consistent and asymptotically normal estimates of the parameters. I also provide computationally simple conditions that guarantee that the GVAR model is stable.
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Forecasting VaR using realized EGARCH model with skewness and kurtosis

Finance Research Letters, 2020
Xinyu Wu, Michelle Xia
exaly  

A Comparison of VaR and CVaR Constraints on Portfolio Selection with the Mean-Variance Model

Management Science, 2004
Alexandre Baptista, Gordon J Alexander
exaly  

Handling missing data in multivariate time series using a vector autoregressive model-imputation (VAR-IM) algorithm

Neurocomputing, 2018
Hua-Liang Wei
exaly