Results 91 to 100 of about 23,659 (294)
International Macroeconomic Dynamics: a Factor Vector Autoregressive Approach [PDF]
In this paper international comovements among a set of key real and nominal macroeconomic variables for the G-7 countries have been investigated for the 1980-2005 period, using a Factor Vector Autoregressive approach. We present evidence that comovements
Fabio C. Bagliano, Claudio Morana
core
An Autonomous Large Language Model‐Agent Framework for Transparent and Local Time Series Forecasting
Advanced Intelligent Discovery, EarlyView.Architecture of the proposed large language model (LLM)‐based agent framework for autonomous time series forecasting in thermal power generation systems. The framework operates through a vertical pipeline initiated by natural language queries from users, which are processed by the LLM Agent Core powered by Llama.cpp and a ReAct loop with persistent ...
William Gouvêa Buratto +5 more
wiley +1 more source
Model selection, estimation and forecasting in VAR models with short-run and long-run restrictions [PDF]
We study the joint determination of the lag length, the dimension of the cointegrating space andthe rank of the matrix of short-run parameters of a vector autoregressive (VAR) model using modelselection criteria. We suggest a new two-step model selection
Athanasopoulos, George +3 more
core +4 more sources
Scientific ReportsA significant portion of the world’s population relies on rice as a primary source of nutrition. In Malaysia, rice production began in the early 1960s, which led to the cultivation of the country’s most significant food crop up till the present day ...
Muhammad Bilal +5 more
doaj +1 more source
Specification via model selection in vector error correction models [PDF]
, 1998 This paper proposes a model selection approach for the specification of the cointegrating rank in the VECM representation of VAR models. Asymptotic properties of estimates are derived and their features compared with the traditional likelihood ratio ...
Jesùs Gonzalo +3 more
core +1 more source
Advanced Intelligent Systems, EarlyView.A physics‐guided deep learning framework, ParamNet, is introduced for the intelligent self‐inversion of vacuum optical tweezers. By fuzing dual‐branch time–frequency features with physical dynamical constraints, it achieves high‐accuracy calibration of trap parameters from short‐window, low‐frequency trajectories, outperforming traditional methods ...
Qi Zheng +4 more
wiley +1 more source
Estimation and Testing for Partially Nonstationary Vector Autoregressive Models with GARCH: WLS versus QMLE [PDF]
Macroeconomic or financial data are often modelled with cointegration and GARCH. Noticeable examples include those studies of price discovery, in which stock prices of the same underlying asset are cointegrated and they exhibit multivariate GARCH ...
Chor-yiu SIN
core +2 more sources
TESTING OF CYCLIC STRUCTURAL CHANGES IN SWITCHING REGIME VECTOR AUTOREGRESSIVE MODELS
Informatika, 2016 For vector autoregressive models RS-VARX with cyclic regime switching of states the method of excluding of short-term system state fluctuations is proposed.
V. I. Malugin
doaj
Econometrics, 2014 In this paper we propose a test for a set of linear restrictions in a Vector Autoregressive Moving Average (VARMA) model. This test is based on the autoregressive metric, a notion of distance between two univariate ARMA models, M0 and M1, introduced by ...
Francesca Di Iorio, Umberto Triacca
doaj +1 more source
A discussion on the robust vector autoregressive models: novel evidence from safe haven assets. [PDF]
Ann Oper Res, 2022 Chang L, Shi Y.
europepmc +1 more source