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The International Journal of Electrical Engineering & Education, 2020
Based on the data of 31 provinces in China from 2007 to 2017, this paper adopts the panel vector autoregression model to study the dynamic relationship between meteorological science and technology capabilities and the economic development of ...
Danna Shen, Yan Li
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Based on the data of 31 provinces in China from 2007 to 2017, this paper adopts the panel vector autoregression model to study the dynamic relationship between meteorological science and technology capabilities and the economic development of ...
Danna Shen, Yan Li
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Panel vector autoregression in R with the package panelvar
Quarterly Review of Economics and Finance, 2019In this paper we extend two general methods of moment (GMM) estimators to panel vector autoregression models (PVAR) with p lags of endogenous variables, predetermined and strictly exogenous variables. We first extend the first difference GMM estimator to
Michael Sigmund, Robert Ferstl
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Structural Vector Autoregressions
2008Structural vector autoregressions (SVARs) are a multivariate, linear representation of a vector of observables on its own lags and (possibly) other variables as a trend or a constant. SVARs make explicit identifying assumptions to isolate estimates of policy and/or private agents’ behaviour and its effects on the economy while keeping the model free of
Jesús Fernández-Villaverde +1 more
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Telecommunications Policy, 2019
This study examines the causal-effect relationship between telecommunication infrastructures, economic growth and development in selected African countries. It further estimates the trivariate impacts of telecommunication infrastructures, economic growth
O. O. David
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This study examines the causal-effect relationship between telecommunication infrastructures, economic growth and development in selected African countries. It further estimates the trivariate impacts of telecommunication infrastructures, economic growth
O. O. David
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Structural vector autoregressions
2013Structural vector autoregressive (VAR) models were introduced in 1980 as an alternative to traditional large-scale macroeconometric models when the theoretical and empirical support for these models became increasingly doubtful. Initial applications of the structural VAR methodology often were atheoretical in that users paid insufficient attention to ...
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On the Vector Autoregressive Sieve Bootstrap
Journal of Time Series Analysis, 2014The concept of autoregressive sieve bootstrap is investigated for the case of vector autoregressive (VAR) time series. This procedure fits a finite‐order VAR model to the given data and generates residual‐based bootstrap replicates of the time series.
Meyer, Marco, Kreiss, Jens-Peter
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Forecasting with Bayesian Vector Autoregression [PDF]
, 2013 This chapter reviews Bayesian methods for inference and forecasting with VAR models. Bayesian inference and, by extension, forecasting depends on numerical methods for simulating from the posterior distribution of the parameters and special attention is given to the implementation of the simulation algorithm.
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Estimating Vector Autoregressions with Panel Data
Econometrica, 1988This paper considers estimation and testing of vector autoregression coefficients in panel data, and applies the techniques to analyze the dynamic relationships between wages and hours worked in two samples of American males. The model allows for nonstationary individual effects, and is estimated by applying instrumental variables to the quasi ...
Holtz-Eakin, Douglas +2 more
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1994
Abstract A straightforward and frequently used way of summarizing stylized facts about business-cycle phenomena is by sample variances, covariances, and autocovariances between the variables involved, possibly after some sort of detrending. This way of data presentation is characteristic of studies in the general-equilibrium tradition.
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Abstract A straightforward and frequently used way of summarizing stylized facts about business-cycle phenomena is by sample variances, covariances, and autocovariances between the variables involved, possibly after some sort of detrending. This way of data presentation is characteristic of studies in the general-equilibrium tradition.
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