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A sparsity-controlled vector autoregressive model [PDF]
Biostatistics, 2016 Vector autoregressive (VAR) models constitute a powerful and well studied tool to analyze multivariate time series. Since sparseness, crucial to identify and visualize joint dependencies and relevant causalities, is not expected to happen in the standard VAR model, several sparse variants have been introduced in the literature.
Carrizosa Priego, Emilio José +2 more
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Reduced-Rank Envelope Vector Autoregressive Model
Journal of Business & Economic Statistics, 2023 The standard vector autoregressive (VAR) models suffer from overparameterization which is a serious issue for high-dimensional time series data as it restricts the number of variables and lags that can be incorporated into the model. Several statistical methods, such as the reduced-rank model for multivariate (multiple) time series (Velu, Reinsel, and ...
S. Yaser Samadi +1 more
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Delaying the Inevitable? U.S. Screwworm Closures and Feeder Cattle Market Dynamics
Applied Economic Perspectives and Policy, EarlyView.ABSTRACT Biosecurity trade restrictions are commonly framed as preventive measures, yet in many settings they function primarily as policies of delay: they impose immediate market costs while only postponing the arrival of biological risks. This paper evaluates that intertemporal tradeoff using the 2024–2025 US suspension of live cattle imports from ...
Shelby Sumner +3 more
wiley +1 more source
Food Prices and Inflation Expectations in New Zealand
Agribusiness, EarlyView.ABSTRACT Food prices are conspicuous, and spending on food constitutes a considerable share of household expenditure. In this study, we use partially identified Bayesian structural vector autoregression models to analyze the effects of food price shocks on core inflation and 1‐ and 5‐year inflation expectations in New Zealand.
Puneet Vatsa +2 more
wiley +1 more source
Trade Conflicts and China's Macroeconomic Fluctuations ---An Empirical Analysis Based on Vector Autoregression Model [PDF]
ITM Web of Conferences, 2019 This paper uses the data from November 2016 to June 2018 to construct a VAR model to empirically analyze the impact of trade wars on the Chinese economy since the trade friction between China and the United States.
Li Chenggang, Gan Yong
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Agribusiness, EarlyView.ABSTRACT Brazil and the United States account for more than 40% of global poultry exports, with China and South Korea among their major destination markets. This study examines price transmission and market linkages between Brazil and the United States using monthly poultry export price data from January 1990 to December 2024. It also assesses which of
Khondoker Abdul Mottaleb +2 more
wiley +1 more source
Food Security Strategy, Macroeconomic Dynamics and Food Import Sensitivity in Qatar
Agribusiness, EarlyView.ABSTRACT Qatar has limited agricultural land and water resources and therefore remains highly dependent on food imports. This structural dependency makes Qatar vulnerable to external shocks such as the recent Gulf crisis, threatening food security and disrupting global supply chains. In response to previous shocks, Qatar started implementing a National
Hansini Ranjan +5 more
wiley +1 more source
Dynamic Spillovers Between FinTech, Blockchain, and Green Finance: A Quantile Connectedness Approach
Business Strategy and the Environment, EarlyView.ABSTRACT This paper explores how financial innovation and environmental sustainability intersect by analyzing spillovers between FinTech, blockchain energy use, and green finance. Using a Quantile Vector Autoregression (QVAR) framework, we examine weekly data from 2018 to 2024 across 11 digital, environmental, and macro‐financial indices.
Mehmet Sahiner, Sisi Sung, James Devlin
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Policy and Market Mechanisms for Sustainable Finance: A Systematic Review and Research Agenda
Business Strategy and the Environment, EarlyView.ABSTRACT Sustainable finance has emerged as a critical instrument for addressing the dual challenges of climate change and sustainable development. Nonetheless, a substantial financing gap persists, while the concept remains under‐theorized without a universally accepted definition, and empirical evidence of its effectiveness remains inconsistent and ...
Jihyung Joo, Byounguk Keum, Taewoo Roh
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, 2011 1 Introduction 1.1 Structure of the Chapter 1.2 Terminology, Notation and General Assumptions 2 VAR Processes 2.1 The Reduced Form 2.2 Structural Forms 3 Estimation of VAR Models 3.1 Classical Estimation of Reduced Form VARs 3.2 Bayesian Estimation of Reduced Form VARs 3.3 Estimation of Structural VARs 4 Model Specification 5 Model Checking 5.1 Tests ...
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