Results 1 to 10 of about 1,779,916 (322)

Bernoulli vector autoregressive model

Journal of Multivariate Analysis, 2020
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Carolina Euán, Ying Sun 0002
openaire   +2 more sources

The causality direction of the corporate social responsibility – Corporate financial performance Nexus: Application of Panel Vector Autoregression approach

The North American journal of economics and finance, 2019
This study is an attempt to model the bidirectional linkages between corporate social responsibility (CSR) and corporate financial performance (CFP) by using the prospective and retrospective approaches.
Woon Leong Lin, S. Law, J. Ho, M. Sambasivan   +3 more
semanticscholar   +1 more source

Cloud-Integrated Meteorological Parameter Prediction by Leveraging Multivariate Statistical Time Series and GANs

IEEE Access
Meteorological parameters are increasingly influenced by unsustainable development and environmental pollution, contributing to the rising frequency of natural calamities. Accurate prediction of these parameters is crucial for prevention. This study uses
Archana Rout, Biswa Ranjan Senapati, Debahuti Mishra   +2 more
doaj   +1 more source

A Lightweight Deep Neural Network Using a Mixer-Type Nonlinear Vector Autoregression

IEEE Access, 2023
The design of a lightweight deep learning model would be an ideal solution for overcoming resource limitations when implementing artificial intelligence in edge sites.
Mery Diana, Ridhwan Amin, Motoki Amagasaki, Masato Kiyama   +3 more
doaj   +1 more source

GMM Estimation of Non-Gaussian Structural Vector Autoregression

Journal of business & economic statistics, 2019
We consider estimation of the structural vector autoregression (SVAR) by the generalized method of moments (GMM). Given non-Gaussian errors and a suitable set of moment conditions, the GMM estimator is shown to achieve local identification of the ...
Markku Lanne, Jani Luoto
semanticscholar   +1 more source

Forecasting and Stress Testing with Quantile Vector Autoregression

Social Science Research Network, 2019
A quantile vector autoregressive (VAR) model, unlike standard VAR, traces the interaction among the endogenous random variables at any quantile. Quantile forecasts are obtained by factorizing the joint distribution in a recursive structure but cannot be ...
Sulkhan Chavleishvili, S. Manganelli
semanticscholar   +1 more source

Vector autoregressions [PDF]

, 2018
Vector autoregressive models are often used to model multiple time series at once. They are applied in fields such as climatology, biology and economy. This dissertation studies: 1) the influence of the number of lags included in the model; and 2) a new parameter estimation method.
openaire   +1 more source

International monetary policy spillovers: Evidence from a time-varying parameter vector autoregression

International Review of Financial Analysis, 2019
This study examines the transmission of international monetary policy spillovers across developed economies based on a Bayesian time-varying parameter vector autoregressive (TVP-VAR) connectedness methodology.
N. Antonakakis, David Gabauer, Rangan Gupta   +2 more
semanticscholar   +1 more source

Vector autoregressive models: A Gini approach [PDF]

Physica A: Statistical Mechanics and its Applications, 2018
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Mussard, Stéphane, Ndiaye, Oumar Hamady
openaire   +2 more sources

Structural Vector Autoregressions With Nonnormal Residuals [PDF]

Journal of Business & Economic Statistics, 2006
In structural vector autoregressive (SVAR) modeling, sometimes the identifying restrictions are insufficient for a unique specification of all shocks. In this paper it is pointed out that specific distributional assumptions can help in identifying the structural shocks.
Markku Lanne, Helmut Luetkepohl
openaire   +6 more sources