Academic literature on the topic 'Vector autoregression'
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Journal articles on the topic "Vector autoregression"
Dufour, Jean-Marie. "Unbiasedness of Predictions from Etimated Vector Autoregressions." Econometric Theory 1, no. 3 (December 1985): 387–402. http://dx.doi.org/10.1017/s0266466600011270.
Full textZhu, Xuening, Rui Pan, Guodong Li, Yuewen Liu, and Hansheng Wang. "Network vector autoregression." Annals of Statistics 45, no. 3 (June 2017): 1096–123. http://dx.doi.org/10.1214/16-aos1476.
Full textLanne, Markku, and Pentti Saikkonen. "NONCAUSAL VECTOR AUTOREGRESSION." Econometric Theory 29, no. 3 (November 12, 2012): 447–81. http://dx.doi.org/10.1017/s0266466612000448.
Full textHärdle, W., A. Tsybakov, and L. Yang. "Nonparametric vector autoregression." Journal of Statistical Planning and Inference 68, no. 2 (May 1998): 221–45. http://dx.doi.org/10.1016/s0378-3758(97)00143-2.
Full textShapor, Maria Alexandrovna, and Rafael Rubenovich Gevogyan. "Features of the vector autoregression models application in macroeconomic research." Mezhdunarodnaja jekonomika (The World Economics), no. 8 (August 10, 2021): 634–49. http://dx.doi.org/10.33920/vne-04-2108-05.
Full textFeifei, Wang, Zhu Xuening, and Pan Rui. "Generalized network vector autoregression." SCIENTIA SINICA Mathematica 51, no. 8 (July 9, 2020): 1253. http://dx.doi.org/10.1360/scm-2018-0839.
Full textLanne, Markku, and Jani Luoto. "Noncausal Bayesian Vector Autoregression." Journal of Applied Econometrics 31, no. 7 (January 8, 2016): 1392–406. http://dx.doi.org/10.1002/jae.2497.
Full textKalliovirta, Leena, Mika Meitz, and Pentti Saikkonen. "Gaussian mixture vector autoregression." Journal of Econometrics 192, no. 2 (June 2016): 485–98. http://dx.doi.org/10.1016/j.jeconom.2016.02.012.
Full textTovstik, T. M. "Vector autoregression process. Stationarity and simulation." Journal of Physics: Conference Series 2099, no. 1 (November 1, 2021): 012068. http://dx.doi.org/10.1088/1742-6596/2099/1/012068.
Full textElbourne, Adam, and Jakob de Haan. "Modeling Monetary Policy Transmission in Acceding Countries: Vector Autoregression Versus Structural Vector Autoregression." Emerging Markets Finance and Trade 45, no. 2 (March 2009): 4–20. http://dx.doi.org/10.2753/ree1540-496x450201.
Full textDissertations / Theses on the topic "Vector autoregression"
Brännström, Tomas. "Bias approximation and reduction in vector autoregressive models /." Stockholm : Economic Research Institute, Stockholm School of Economics [Ekonomiska forskningsinstitutet vid Handelshögsk.] (EFI), 1995. http://www.hhs.se/efi/summary/405.
Full textDutta, Bordoloi Suwodi. "Interdependence of US Industry Sectors Using Vector Autoregression." Digital WPI, 2009. https://digitalcommons.wpi.edu/etd-theses/1073.
Full textJeon, Kyung-Seong. "An examination of stock market properties : vector autoregression approach /." free to MU campus, to others for purchase, 1997. http://wwwlib.umi.com/cr/mo/fullcit?p9841304.
Full textUnosson, Måns. "A Mixed Frequency Steady-State Bayesian Vector Autoregression: Forecasting the Macroeconomy." Thesis, Uppsala universitet, Statistiska institutionen, 2016. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-297406.
Full textZhang, Wei. "A sensitivity study on identification schemes of the structural vector autoregression /." free to MU campus, to others for purchase, 2001. http://wwwlib.umi.com/cr/mo/fullcit?p3025669.
Full textPetrov, Krassimir M. "Forecasting the dairy price complex : an application of Bayesian Vector autoregression modelling /." The Ohio State University, 2000. http://rave.ohiolink.edu/etdc/view?acc_num=osu1488193272066522.
Full textBrännström, Tomas. "Bias approximation and reduction in vector autoregressive models." Doctoral thesis, Handelshögskolan i Stockholm, Ekonomisk Statistik (ES), 1995. http://urn.kb.se/resolve?urn=urn:nbn:se:hhs:diva-878.
Full textDiss. Stockholm : Handelshögsk.
Jordanov, Jordan V. "The size anomaly in the London Stock Exchange : an empirical investigation." Thesis, Loughborough University, 1998. https://dspace.lboro.ac.uk/2134/7067.
Full textWhite, Alexander B. "Pre- and post-retirement asset allocation: a simulation of retirement investment strategies for agricultural producers." Diss., Virginia Tech, 1995. http://hdl.handle.net/10919/38097.
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Brüggemann, Ralf. "Model reduction methods for vector autoregressive processes /." Berlin [u.a.] : Springer, 2004. http://www.loc.gov/catdir/enhancements/fy0818/2003067373-d.html.
Full textBooks on the topic "Vector autoregression"
Holden, K. Vector autoregression modelling and forecasting. [Liverpool]: Liverpool Business School, 1994.
Find full textEmpirical vector autoregressive modeling. Berlin: Springer-Verlag, 1994.
Find full textKadiyala, K. R. Forecasting with Bayesian vector autoregressions. West Lafayette, Ind: Institute for Research in the Behavioral, Economic, and Management Sciences, Krannert Graduate School of Management, Purdue University, 1989.
Find full textRamaswamy, Ramana. Japan's stagnant nineties: A vector autoregression retrospective. [Washington, D.C.]: International Monetary Fund, Asia and Pacific Department, 1999.
Find full textJohansen, Søren. Likelihood-based inference in cointegrated vector autoregressive models. Oxford: Oxford University Press, 1995.
Find full textLikelihood-based inference in cointegrated vector autoregressive models. Oxford: Oxford University Press, 1995.
Find full textCrone, Theodore M. Vector-autoregression forecast models for the third district states. Philadelphia: Federal Reserve Bank of Philadelphia, Economic Research Division, 1992.
Find full textGhatak, Anita. Vector autoregression modelling and forecasting growth of South Korea. Milton Keynes: De Montfort University, School of Social Sciences, 1997.
Find full textWright, Jonathan H. Exact confidence intervals for impulse responses in a gaussian vector autoregression. Washington, D.C: Federal Reserve Board, 2000.
Find full textElitzak, Howard. Quarterly forecasting of meat retail prices: A vector autoregression approach. [Washington, DC]: U.S. Dept of Agriculture, Economic Research Service, Commodity Economics Division, 1989.
Find full textBook chapters on the topic "Vector autoregression"
Gates, Kathleen M., Sy-Miin Chow, and Peter C. M. Molenaar. "Vector Autoregression (VAR)." In Intensive Longitudinal Analysis of Human Processes, 73–101. Boca Raton: Chapman and Hall/CRC, 2023. http://dx.doi.org/10.1201/9780429172649-4.
Full textAljandali, Abdulkader, and Motasam Tatahi. "Vector Autoregression (VAR) Model." In Economic and Financial Modelling with EViews, 211–35. Cham: Springer International Publishing, 2018. http://dx.doi.org/10.1007/978-3-319-92985-9_10.
Full textMcElroy, Tucker, and David Findley. "Fitting Constrained Vector Autoregression Models." In Empirical Economic and Financial Research, 451–70. Cham: Springer International Publishing, 2014. http://dx.doi.org/10.1007/978-3-319-03122-4_28.
Full textOoms, Marius. "Data Analysis by Vector Autoregression." In Lecture Notes in Economics and Mathematical Systems, 59–108. Berlin, Heidelberg: Springer Berlin Heidelberg, 1994. http://dx.doi.org/10.1007/978-3-642-48792-7_3.
Full textDas, Panchanan. "Cointegration, Error Correction and Vector Autoregression." In Econometrics in Theory and Practice, 367–416. Singapore: Springer Singapore, 2019. http://dx.doi.org/10.1007/978-981-32-9019-8_12.
Full textMcMillan, Susan M. "The Question of Causality: Vector Autoregression Analysis." In Foreign Direct Investment in Three Regions of the South at the End of the Twentieth Century, 116–41. London: Palgrave Macmillan UK, 1999. http://dx.doi.org/10.1007/978-1-349-27218-1_5.
Full textMokhtarzadeh, Fatemeh. "A global vector autoregression model for softwood lumber trade." In International trade in forest products: lumber trade disputes, models and examples, 174–93. Wallingford: CABI, 2021. http://dx.doi.org/10.1079/9781789248234.0174.
Full textMokhtarzadeh, Fatemeh. "A global vector autoregression model for softwood lumber trade." In International trade in forest products: lumber trade disputes, models and examples, 174–93. Wallingford: CABI, 2021. http://dx.doi.org/10.1079/9781789248234.0008.
Full textHochreiter, Ronald, and Gerald Krottendorfer. "Robust Estimation of Vector Autoregression (VAR) Models Using Genetic Algorithms." In Applications of Evolutionary Computation, 223–33. Berlin, Heidelberg: Springer Berlin Heidelberg, 2013. http://dx.doi.org/10.1007/978-3-642-37192-9_23.
Full textKharin, Yuriy. "Optimality and Robustness of Vector Autoregression Forecasting Under Missing Values." In Robustness in Statistical Forecasting, 231–72. Cham: Springer International Publishing, 2013. http://dx.doi.org/10.1007/978-3-319-00840-0_8.
Full textConference papers on the topic "Vector autoregression"
Haboub, Amine, Hamza Baali, and Abdesselam Bouzerdoum. "Multichannel Signal Classification Using Vector Autoregression." In ICASSP 2020 - 2020 IEEE International Conference on Acoustics, Speech and Signal Processing (ICASSP). IEEE, 2020. http://dx.doi.org/10.1109/icassp40776.2020.9054144.
Full textC.J., Harivigneshwar, Dharmavenkatesan K.B., Ajith R., and Jeyanthi R. "Modeling of Multivariate Systems using Vector Autoregression(VAR)." In 2019 Innovations in Power and Advanced Computing Technologies (i-PACT). IEEE, 2019. http://dx.doi.org/10.1109/i-pact44901.2019.8960145.
Full textLu, Xin, and Kiyoshi Nishiyama. "Dependability of Unstructured Estimator in Vector Autoregression Identification." In 2007 IEEE Workshop on Signal Processing Systems. IEEE, 2007. http://dx.doi.org/10.1109/sips.2007.4387615.
Full textCavalcante, Laura, and Ricardo J. Bessa. "Solar power forecasting with sparse vector autoregression structures." In 2017 IEEE Manchester PowerTech. IEEE, 2017. http://dx.doi.org/10.1109/ptc.2017.7981201.
Full textCastano, Alfonso L., Javier Cuenca, Jose Matias Cutillas Lozano, Domingo Gimenez, Jose J. Lopez-Espin, and Alberto Perez-Bernabeu. "Parallelism on Hybrid Metaheuristics for Vector Autoregression Models." In 2018 International Conference on High Performance Computing & Simulation (HPCS). IEEE, 2018. http://dx.doi.org/10.1109/hpcs.2018.00134.
Full textRimondi, Andrea, Anton Sysoev, Maria Cristina Recchioni, and Pavel Saraev. "Modelling Wealth Inequality: A Structural Vector Autoregression Approach." In 2020 2nd International Conference on Control Systems, Mathematical Modeling, Automation and Energy Efficiency (SUMMA). IEEE, 2020. http://dx.doi.org/10.1109/summa50634.2020.9280600.
Full textPetrusevich, Denis. "INVESTIGATION OF ORDER SELECTION IN THE VECTOR AUTOREGRESSION MODEL." In 20th International Multidisciplinary Scientific GeoConference Proceedings SGEM 2020. STEF92 Technology, 2020. http://dx.doi.org/10.5593/sgem2020/2.1/s07.025.
Full textLiashenko, Olena, Tetyana Kravets, and Olha Bobro. "Fractionally Cointegrated Vector Autoregression Model of Spread Estimation for Metals." In 2020 10th International Conference on Advanced Computer Information Technologies (ACIT). IEEE, 2020. http://dx.doi.org/10.1109/acit49673.2020.9208895.
Full textLing, Xing, Yeonwoo Rho, and Chee-Wooi Ten. "Predicting Global Trend of Cybersecurity on Continental Honeynets Using Vector Autoregression." In 2019 IEEE PES Innovative Smart Grid Technologies Europe (ISGT-Europe). IEEE, 2019. http://dx.doi.org/10.1109/isgteurope.2019.8905639.
Full textRaudiya, Fikka, Aniq A. Rohmawati, and Didit Adytia. "Non-Stationary Order of Vector Autoregression in Significant Ocean Wave Forecasting." In 2021 9th International Conference on Information and Communication Technology (ICoICT). IEEE, 2021. http://dx.doi.org/10.1109/icoict52021.2021.9527502.
Full textReports on the topic "Vector autoregression"
Baluga, Anthony, and Masato Nakane. Maldives Macroeconomic Forecasting:. Asian Development Bank, December 2020. http://dx.doi.org/10.22617/wps200431-2.
Full textAng, Andrew, and Monika Piazzesi. A No-Arbitrage Vector Autoregression of Term Structure Dynamics with Macroeconomic and Latent Variables. Cambridge, MA: National Bureau of Economic Research, July 2001. http://dx.doi.org/10.3386/w8363.
Full textRead, Matthew. Estimating the Effects of Monetary Policy in Australia Using Sign-restricted Structural Vector Autoregressions. Reserve Bank of Australia, January 2023. http://dx.doi.org/10.47688/rdp2022-09.
Full textAmbaw, Dessie, Madhavi Pundit, Arief Ramayandi, and Nicholas Sim. Real Exchange Rate Misalignment and Business Cycle Fluctuations in Asia and the Pacific. Asian Development Bank, March 2022. http://dx.doi.org/10.22617/wps220066-2.
Full textDime, Roselle, Juzhong Zhuang, and Edimon Ginting. Estimating Fiscal Multipliers in Selected Asian Economies. Asian Development Bank, August 2021. http://dx.doi.org/10.22617/wps210309-2.
Full textLudvigson, Sydney, Sai Ma, and Serena Ng. Shock Restricted Structural Vector-Autoregressions. Cambridge, MA: National Bureau of Economic Research, March 2017. http://dx.doi.org/10.3386/w23225.
Full textGiannone, Domenico, Michele Lenza, and Giorgio Primiceri. Prior Selection for Vector Autoregressions. Cambridge, MA: National Bureau of Economic Research, October 2012. http://dx.doi.org/10.3386/w18467.
Full textAhumada, Hildegart, Eduardo A. Cavallo, Santos Espina-Mairal, and Fernando Navajas. Sectoral Productivity Growth, COVID-19 Shocks, and Infrastructure. Inter-American Development Bank, July 2021. http://dx.doi.org/10.18235/0003411.
Full textBeirne, John, and Eric Sugandi. Risk-Off Shocks and Spillovers in Safe Havens. Asian Development Bank Institute, November 2022. http://dx.doi.org/10.56506/guux7790.
Full textClark, Todd E., and Michael W. McCracken. Evaluating the Accuracy of Forecasts from Vector Autoregressions. Federal Reserve Bank of St. Louis, 2013. http://dx.doi.org/10.20955/wp.2013.010.
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