Books on the topic 'Vector autoregression'

Holden, K. Vector autoregression modelling and forecasting. [Liverpool]: Liverpool Business School, 1994.

Empirical vector autoregressive modeling. Berlin: Springer-Verlag, 1994.

Kadiyala, 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.

Ramaswamy, Ramana. Japan's stagnant nineties: A vector autoregression retrospective. [Washington, D.C.]: International Monetary Fund, Asia and Pacific Department, 1999.

Johansen, Søren. Likelihood-based inference in cointegrated vector autoregressive models. Oxford: Oxford University Press, 1995.

Likelihood-based inference in cointegrated vector autoregressive models. Oxford: Oxford University Press, 1995.

Crone, Theodore M. Vector-autoregression forecast models for the third district states. Philadelphia: Federal Reserve Bank of Philadelphia, Economic Research Division, 1992.

Ghatak, Anita. Vector autoregression modelling and forecasting growth of South Korea. Milton Keynes: De Montfort University, School of Social Sciences, 1997.

Wright, Jonathan H. Exact confidence intervals for impulse responses in a gaussian vector autoregression. Washington, D.C: Federal Reserve Board, 2000.

Elitzak, 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.

Johansen, Søren. A small sample correction of the test for cointegrating rank in the vector autoregressive model. San Domenico (FI) Italy: European University Institute, 2000.

Love, Inessa. Financial development and dynamic investment behavior: Evidence from panel vector autoregression. Washington, D.C: World Bank, Finance, Development Research Group, 2002.

Bayoumi, Tamim A. Foreign entanglements: Estimating the source and size of spillovers across industrial countries. [Washington, D.C.]: International Monetary Fund, Western Hemisphere Dept., 2007.

Johansen, Søren. The asymptotic variance of the estimated roots in a cointegrated vector autoregressive model. Florence: European University Institute, Department of Economics, 2001.

The cointegrated VAR model: Methodology and applications. Oxford: Oxford University Press, 2006.

Derek, Deadman, ed. New directions in econometric practice: General to specific modelling, cointegration, and vector autoregression. 2nd ed. Lyme, N.H: Edward Elgar Pub., 1997.

Charemza, Wojciech. New directions in econometric practice: General to specific modelling, cointegration, and vector autoregression. Aldershot, Hants, England: E. Elgar, 1992.

Ang, Andrew. A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables. Cambridge, MA: National Bureau of Economic Research, 2001.

Fund, International Monetary, ed. Recession and recovery in the United Kingdom in the 1990s: A vector autoregression approach. Washington, D.C: International Monetary Fund, 1995.

Cha, Baekin. The influence of the exchange rate on the U.S. wage process: A vector autoregression approach. Kowloon, Hong Kong: City Polytechnic of Hong Kong, Department of Economics and Finance, 1993.

Mocan, H. Naci. Business cycles and fertility dynamics in the U.S.: A vector-autoregressive model. Cambridge, MA (1050 Massachusetts Avenue, Cambridge, MA 02138): National Bureau of Economic Research, 1989.

Fernández-Villaverde, Jesús. A, B, C's, (and D's) for understanding VARS. [Atlanta, Ga.]: Federal Reserve Bank of Atlanta, 2005.

Fernández-Villaverde, Jesús. A, B, C's (and D)'s for understanding VARS. Cambridge, MA: National Bureau of Economic Research, 2005.

Reimers, Hans-Eggert. Analyse kointegrierter Variablen mittels vektorautoregressiver Modelle. Heidelberg: Physica-Verlag, 1991.

Fund, International Monetary, ed. Italian unemployment 1975-95: An analysis of macroeconomic shocks and policies using evidence from a structural vector autoregression. Washington, D.C: International Monetary Fund, 1996.

Krolzig, Hans-Martin. Markov-Switching Vector Autoregressions. Berlin, Heidelberg: Springer Berlin Heidelberg, 1997. http://dx.doi.org/10.1007/978-3-642-51684-9.

Ooms, Marius. Empirical Vector Autoregressive Modeling. Berlin, Heidelberg: Springer Berlin Heidelberg, 1994. http://dx.doi.org/10.1007/978-3-642-48792-7.

Campbell, John Y. A variance decomposition for stock returns. London: LSE Financial Markets Group, 1990.

Campbell, John Y. A variance decomposition for stock returns. Cambridge, MA: National Bureau of Economic Research, 1990.

Mills, Terence C. Recent developments in modelling nonstationary vector autoregressions. Loughborough: Loughborough University, Department of Economics, 1996.

Litterman, Robert B. A Bayesian procedure for forecasting with vector autoregressions and forecasting with bayesian vector autoregressions--four years of experience. Minneapolis, Minn: Federal Reserve Bank of Minneapolis, 1985.

Brüggemann, Ralf. Model Reduction Methods for Vector Autoregressive Processes. Berlin, Heidelberg: Springer Berlin Heidelberg, 2004. http://dx.doi.org/10.1007/978-3-642-17029-4.

Charemza, W. Forecasting, causality and cointegration: Analysis using vector autoregressions. Leicester: University of Leicester, Department of Economics, 1991.

Rubio-Ramírez, Juan Francisco. Markov-Switching structural vector autoregressions: Theory and application. [Atlanta, Ga.]: Federal Reserve Bank of Atlanta, 2005.

Brännström, Tomas. Bias approximation and reduction in vector autoregressive models. [s.l.]: typescript, 1995.

Johansen, Søren. A small sample correction for tests of hypotheses on the cointegrating vectors. Florence: European University Institute, 1999.

Christiano, Lawrence J. Alternative procedures for estimating vector autoregressions identified with long-run restrictions. Washington, D.C: Federal Reserve Board, 2005.

Armour, Jamie. Overnight rate innovations as a measure of monetary policy shocks in vector autoregressions. Ottawa: Bank of Canada, 1996.

Markov-switching vector autoregressions: Modelling, statistical inference, and application to business cycle analysis. Berlin: Springer, 1997.

Eckstein, Zvi. Agricultural supply response using vector autoregressions (VAR) with panel data: Some evidence from India. [Tel Aviv]: David Horowitz Institute for the Research of Developing Countries, Tel-Aviv University, 1985.

Bernanke, Ben S. Measuring the effects of monetary policy: A factor-augmented vector autoregressive (FAVAR) approach. Cambridge, MA: National Bureau of Economic Research, 2004.

Hasan, Mohammad S. Monetary policy, fiscal policy, and aggregate economic activity in a vector autoregressive model. Newcastle upon Tyne: University of Northumbria at Newcastle, 1995.

Johansen, Søren. Controlling inflation in a cointegrated vector autoregressive model with an application to US data. San Domenico: European University Institute, Department of Economics, 2001.

Johansen, Søren. A small sample correction of the test for cointegrating rank in the vector autoregressive model. Badia Fiesolana, San Domenico: European University Institute, 2000.

Kobler, Alexander E. Sources and dynamics of macroeconomic fluctuations in Switzerland: Evidence from a structural vector autoregressive approach. Bern: Peter Lang, 2000.

Babeshko, Lyudmila, and Irina Orlova. Econometrics and econometric modeling in Excel and R. ru: INFRA-M Academic Publishing LLC., 2020. http://dx.doi.org/10.12737/1079837.

Skinner, David. Can vector autoregressive modelling with leading indicators serve as a useful supplement to mainstream modellers?: Astudy in the light of forecasting failures since the mid 1980s. [s.l.]: typescript, 1992.

1943-, Holden K., ed. Vector autoregression modelling and forecasting. Chichester: John Wiley, 1995.

Rendu, Christel, and Ramana Ramaswamy. Japan's Stagnant Nineties - a Vector Autoregression Retrospective. International Monetary Fund, 1999.

Rendu, Christel, and Ramana Ramaswamy. Japan's Stagnant Nineties - A Vector Autoregression Retrospective. International Monetary Fund, 1999.