Results 271 to 280 of about 23,659 (294)

Linkage vector autoregressive model

Applied Stochastic Models in Business and Industry
AbstractTo accommodate linkage effects of individuals, we develop a new linkage vector autoregressive (LAR) model for dynamic panel data. A main feature of the LAR model is incorporating dynamic network information in autoregressive time series modeling. The dynamic network can be given, or we can formulate the network links as a function of historical
Manabu Asai, Mike K. P. So
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Graphical models for structural vector autoregressions [PDF]

, 2003
The identification of a VAR requires differentiating between correlation and causation. This paper presents a method to deal with this problem. Graphical models, which provide a rigorous language to analyze the statistical and logical properties of causal relations, associate a particular set of vanishing partial correlations to every possible causal ...
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Vector Autoregressive Model and Analysis

2021
The aim of this study is to explain vector autoregressive (VAR) models and Granger causality. VAR is an econometric model that generalizes univariate autoregressive (AR) models. VAR is a regression model that can be considered as a kind of hybrid among univariate time series models.
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Vector Autoregression (VAR) Model

2018
In the regression analysis endogenous and exogenous variables are used alongside each other. An endogenous variable is a variable (generated by a statistical model), which is explained by the relationships between functions within the model. For example, the equilibrium price of a good in a supply and demand model is endogenous because it is set by a ...
Abdulkader Aljandali, Motasam Tatahi
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Identifiability of structural singular vector autoregressive models

Journal of Time Series Analysis, 2021
Bernd Funovits
exaly  

Vector autoregressive models

2022
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On the vector-valued generalized autoregressive models

Journal of Statistical Computation and Simulation, 2023
A R Nematollahi
exaly  

Robust estimation using multivariate t innovations for vector autoregressive models via ECM algorithm

Journal of Applied Statistics, 2021
Uchenna Chinedu Nduka
exaly  

Vector autoregressive models

This comprehensive Handbook presents the current state of art in the theory and methodology of macroeconomic data analysis. It is intended as a reference for graduate students and researchers interested in exploring new methodologies, but can also be employed as a graduate text.
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Modeling Marketing Dynamics Using Vector Autoregressive (VAR) Models

2021
Shuba Srinivasan, Srinivasan Shuba
exaly