Estimating Multi-Country VAR Models [PDF]
SSRN Electronic Journal, 2006 This paper describes a methodology to estimate the coefficients, to test specification hypotheses and to conduct policy exercises in multi-country VAR models with cross unit interdependencies, unit specific dynamics and time variations in the coefficients.
Fabio Canova, Matteo Ciccarelli
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Infinite-dimensional VARs and factor models [PDF]
Journal of Econometrics, 2009 This paper introduces a novel approach for dealing with the 'curse of dimensionality' in the case of large linear dynamic systems. Restrictions on the coefficients of an unrestricted VAR are proposed that are binding only in a limit as the number of endogenous variables tends to infinity.
Alexander Chudik, M. Hashem Pesaran
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Bayesian forecast combination for VAR models☆ [PDF]
SSRN Electronic Journal, 2007 We consider forecast combination and, indirectly, model selection for VAR models when there is uncertainty about which variables to include in the model in addition to the forecast variables. The key difference from traditional Bayesian variable selection is that we also allow for uncertainty regarding which endogenous variables to include in the model.
Andersson, Michael K, Karlsson, Sune
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The Relationship between Financial Inclusion and Sudanese Economic Growth 2006-2020 [PDF]
مجلة بيت المشورة, 2022 The paper shed light on the causal relationship between financial inclusion, and economic growth in Sudan from 2006 to 2020. The paper seeks to answer the following question: What is the impact of financial inclusion indicators on economic growth in ...
Mozamel Aldai Alabass Alfaki +1 more
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VAR-tree model based spatio-temporal characterization and prediction of O3 concentration in China.
Ecotoxicology and Environmental Safety, 2023 Ozone (O3) pollution in the atmosphere is getting worse in many cities. In order to improve the accuracy of O3 prediction and obtain the spatial distribution of O3 concentration over a continuous period of time, this paper proposes a VAR-XGBoost model ...
Hongbin Dai +3 more
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A Snapshot of Where We Are. A Gross Domestic Product Analysis Related to Household Energy Price Index in the European Union [PDF]
Ovidius University Annals: Economic Sciences Series, 2023 This is one of the few articles that investigate the relation between GDP and electricity and gas evolution, especially given the events in the last three years. The evolution of GDP related to the Household Energy Price Index in the European Union (27
Giorgiana Roxana Ene
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Analyzing the Housing Market Network among Iran’s Provinces: New Evidence through Variance Decomposition of Forecast Errors [PDF]
Faslnāmah-i Pizhūhish/Nāmah-i Iqtisādī, 2023 Housing price shocks of one region may spread to the housing market of neighboring regions or geographical areas bounded by political border and lead to the formation of price shocks in shock-receiving areas.
Hodjatollah Mirzaei +3 more
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Model of Interaction of Structural Elements of the Financial Market of Ukraine [PDF]
Problemi EkonomikiThe aim of the article is to improve the methodology of studying the financial market of Ukraine, analyzing the interaction between the components of the financial market, studying the reaction of the components of the financial market to sudden changes ...
Kochorba Valeriia Yu.
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Research on the relationship between urbanization, industrial structure and urban-rural income gap-Taking Sichuan province as an example [PDF]
ITM Web of Conferences, 2022 This paper selects three indicators of urbanization, industrial structure and urban-rural income gap to construct a three-dimensional VAR model. Through Granger causality test, impulse response function and variance decomposition methods, a dynamic ...
Li Bing, Liu Yinfeng
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Fiscal Policy in Emerging Economies Romania, Poland, Hungary, Czech Republic [PDF]
Revista de Management Comparat International, 2019 The aim of this article is to examine the impact of domestic fiscal shocks on output in Romania, Poland, Hungary and Czech Republic over the period 1995-2020. All countries are European Union’s members which didn’t adopt yet euro currency.
Iulia ROȘOIU
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