Results 171 to 180 of about 1,779,916 (322)
Sparse Causal Dynamic Linear Regression
Journal of Time Series Analysis, EarlyView.ABSTRACT We develop a sparse causal dynamic regression framework for long multivariate time series. With very long time series, the potentially large number of lags and leads in a dynamic regression model often makes time‐domain estimation numerically unstable or intractable.
Rui Huang, Kung‐Sik Chan
wiley +1 more source
Vector Autoregression and Causality
This paper develops a complete limit theory for Wald tests of Granger causality in levels vector autoregression (VAR's) and Johansen-type error correction models (ECM's) allowing for the presence of stochastic trends and cointegration.
Peter C.B. Phillips, Hiro Y. Toda
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COVID-19 Infection Process in Italy and Spain: Are Data Talking? Evidence From ARMA and Vector Autoregression Models. [PDF]
Front Public Health, 2020 Monllor P +3 more
europepmc +1 more source
Disagreement About Fiscal Policy
Oxford Bulletin of Economics and Statistics, EarlyView.ABSTRACT Politicians disagree about fiscal policy. This disagreement should have economic effects beyond the effects of government spending and taxation. We use the full set of speeches in the German Bundestag since 1960 and apply state‐of‐the art natural language processing techniques to construct two series of fiscal disagreement starting in 1970 ...
Albina Latifi +3 more
wiley +1 more source
Bayesian vector autoregression time series forecasting model
, 2001 This dissertation describes a technique of economic forecasting with Bayesian vector autoregression (BVAR), which has been used successfully in macro-economy forecasting.Master of Science (Computer Control and ...
Chen, Wen.
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The Role of Labour Market Institutions in Shaping Euro Area Monetary Policy Transmission
Oxford Bulletin of Economics and Statistics, EarlyView.ABSTRACT We examine how labour market institutions shape monetary policy transmission in euro area countries. A theoretical model suggests that higher union density flattens the Phillips curve, amplifying output responses while dampening the inflation effects of monetary shocks. This is empirically confirmed using an interacted panel VAR.
Maximilian Boeck, Christian Glocker
wiley +1 more source
FORECAST EVALUATION FOR MULTIVARIATE TIME-SERIES MODELS: THE U.S. CATTLE MARKET
A set of rigorous diagnostic techniques is used to evaluate the forecasting performance of five multivariate time-series models for the U.S. cattle sector.
Park, Timothy A.
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Parameter estimation for Markov - Switching vector autoregression
, 2007 Maģistra darbā ir apskatīti vektoru autoregresijas modeļi, kuru parametri ir atkarīgi no slēptas Markova ķēdes stāvokļa. Ir apskatīta slēptas Markova ķēdes un vektoru autoregresijas parametru novērtēšana ar vislielākās ticamības metodi un šo novērtējumu ...
Kuzņecova, Nadežda
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Forecasting Climate Change Using a Multivariate Cointegrated System
Oxford Bulletin of Economics and Statistics, EarlyView.ABSTRACT A cointegrated vector equilibrium correction model of key climate variables including sea surface temperature, ocean heat content, Arctic sea‐ice extent and sea‐level change is built, driven by radiative forcing in which a stochastic trend arises due to anthropogenic emissions of greenhouse gases.
Jennifer L. Castle +3 more
wiley +1 more source