Results 241 to 250 of about 98,361 (266)

A new approach to integrating expectations into VAR models

Journal of Monetary Economics, 2022
Taeyoung Doh, A Lee Smith
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.
openaire   +2 more sources

Forecasting with vector autoregressive (VAR) models subject to business cycle restrictions

International Journal of Forecasting, 1995
Scott Simkins
exaly  

VAR Models

2011
openaire   +1 more source

Improved GMM estimation of panel VAR models

Computational Statistics and Data Analysis, 2016
Kazuhiko Hayakawa
exaly  

VAR Modeling

2005
openaire   +1 more source

Assessing the Effect of the Integration among the Urbanization and Industries Development in Three Gorges Reservoir Area in China Based on P-VAR Models

Journal of the Urban Planning and Development Division, ASCE, 2016
Guohua Cao
exaly  

Efficient strategies for deriving the subset VAR models

Computational Management Science, 2005
Cristian Gatu, Erricos John Kontoghiorghes   +1 more
exaly  

VaR bounds in models with partial dependence information on subgroups

Dependence Modeling, 2017
Ludger Rüschendorf
exaly  

CO‐INTEGRATING VAR MODELS AND ECONOMIC POLICY

Journal of Economic Surveys, 2014
Francesco Carlucci
exaly