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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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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Model selection, estimation and forecasting in VAR models with short-run and long-run restrictions [PDF]
We study the joint determination of the lag length, the dimension of the cointegrating space andthe rank of the matrix of short-run parameters of a vector autoregressive (VAR) model using modelselection criteria.
Athanasopoulos, George +3 more
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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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Asymmetric Effects of Oil Shocks on Government Expenditures and Investment: An Application of Murk Rule [PDF]
Faslnāmah-i Pizhūhish/Nāmah-i Iqtisādī, 2013 Oil revenues play an important role in the political economy of Iran. In this study we analyze the asymmetric effects of oil price shocks on government expenditures and investment for the period of 1978-2008.
Mir Hossein Mousavi, Fatemeh Sorkhe-Dehi
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The Effect of Financial Markets Volatilities on Oil Market; An Emphasis on 2008 Financial Crisis [PDF]
Faslnāmah-i Pizhūhish/Nāmah-i Iqtisādī, 2019 The significance of oil market and its impact on economic growth in oil-exporting and oil-consuming countries has led to examination of factors affecting it in different studies.
abbas shakeri +2 more
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The Impacts of Nominal Shocks on Real Wage of Industrial Sector in Iran [PDF]
Faslnāmah-i Pizhūhish/Nāmah-i Iqtisādī, 2011 In this research ,the impacts of nominal shocks (money supply) on real wage in the industrial sector of Iran has been investigated for period 1981-2008. The model that we have used in this study is Vector Autoregressive Model.According to the results of
Somayeh Khanjari, Masud Homayounifar
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Makroekonomik değişkenlerin BIST turizm endeksi üzerindeki etkisinin incelenmesi
Sakarya Üniversitesi İşletme Enstitüsü Dergisi, 2021 Bu çalışmanın amacı BIST Turizm endeksi, USD/TL, faiz oranı ve petrol fiyatları arasındaki karşılıklı ilişkiyi araştırmaktır. Çalışmada Ocak2008-Aralık 2020 dönemi aylık verileri kullanılmıştır.
Özge Demirkale, Esin Nesrin Can
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