Journal articles on the topic 'Vector autoregression'
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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 textWang, Lei, and Shanshan Ding. "Vector autoregression and envelope model." Stat 7, no. 1 (2018): e203. http://dx.doi.org/10.1002/sta4.203.
Full textHarris, Glen R. "Markov Chain Monte Carlo Estimation of Regime Switching Vector Autoregressions." ASTIN Bulletin 29, no. 1 (May 1999): 47–79. http://dx.doi.org/10.2143/ast.29.1.504606.
Full textTang, Yiming, Yang Bai, and Tao Huang. "Network vector autoregression with individual effects." Metrika 84, no. 6 (January 9, 2021): 875–93. http://dx.doi.org/10.1007/s00184-020-00805-y.
Full textBrandt, Patrick T., and Todd Sandler. "A Bayesian Poisson Vector Autoregression Model." Political Analysis 20, no. 3 (2012): 292–315. http://dx.doi.org/10.1093/pan/mps001.
Full textTeapon, Rizal Rahman H., and Rachman Dano Mustafa. "Shock of Monetary Policy Transmission and Macroeconomic Variable in Indonesia: A Structural VAR Approach." Jurnal Economia 14, no. 2 (October 1, 2018): 177–96. http://dx.doi.org/10.21831/economia.v14i2.21480.
Full textGalbraith, John W., Aman Ullah, and Victoria Zinde-Walsh. "ESTIMATION OF THE VECTOR MOVING AVERAGE MODEL BY VECTOR AUTOREGRESSION." Econometric Reviews 21, no. 2 (January 10, 2002): 205–19. http://dx.doi.org/10.1081/etc-120014349.
Full textRendu, Christel, and Ramana Ramaswamy. "Japan's Stagnant Nineties: A Vector Autoregression Retrospective." IMF Working Papers 99, no. 45 (1999): 1. http://dx.doi.org/10.5089/9781451846454.001.
Full textEricsson, Neil R., and Erica L. Reisman. "Evaluating a Global Vector Autoregression for Forecasting." International Finance Discussion Paper 2012, no. 1056 (October 2012): 1–20. http://dx.doi.org/10.17016/ifdp.2012.1056.
Full textDaniel Felix Ahelegbey, Monica Billio, and Roberto Casarin. "Sparse Graphical Vector Autoregression: A Bayesian Approach." Annals of Economics and Statistics, no. 123/124 (2016): 333. http://dx.doi.org/10.15609/annaeconstat2009.123-124.0333.
Full textFreeman, John R., John T. Williams, and Tse-min Lin. "Vector Autoregression and the Study of Politics." American Journal of Political Science 33, no. 4 (November 1989): 842. http://dx.doi.org/10.2307/2111112.
Full textHuang, Xiao. "Panel vector autoregression under cross-sectional dependence." Econometrics Journal 11, no. 2 (July 2008): 219–43. http://dx.doi.org/10.1111/j.1368-423x.2008.00240.x.
Full textDavidson, James. "THE COINTEGRATION PROPERTIES OF VECTOR AUTOREGRESSION MODELS." Journal of Time Series Analysis 12, no. 1 (June 28, 2008): 41–62. http://dx.doi.org/10.1111/j.1467-9892.1991.tb00067.x.
Full textAbrigo, Michael R. M., and Inessa Love. "Estimation of Panel Vector Autoregression in Stata." Stata Journal: Promoting communications on statistics and Stata 16, no. 3 (September 2016): 778–804. http://dx.doi.org/10.1177/1536867x1601600314.
Full textSpencer, David E. "Developing a Bayesian vector autoregression forecasting model." International Journal of Forecasting 9, no. 3 (November 1993): 407–21. http://dx.doi.org/10.1016/0169-2070(93)90034-k.
Full textNjenga, Carolyn Ndigwako, and Michael Sherris. "Modeling mortality with a Bayesian vector autoregression." Insurance: Mathematics and Economics 94 (September 2020): 40–57. http://dx.doi.org/10.1016/j.insmatheco.2020.05.011.
Full textPhillips, Peter C. B. "Fully Modified Least Squares and Vector Autoregression." Econometrica 63, no. 5 (September 1995): 1023. http://dx.doi.org/10.2307/2171721.
Full textWong, J. K., and P. L. Jolly. "A Bayesian vector autoregression model of inflation." New Zealand Economic Papers 28, no. 2 (December 1994): 117–31. http://dx.doi.org/10.1080/00779959409544220.
Full textChu, Chi-Hsiang, Mong-Na Lo Huang, Shih-Feng Huang, and Ray-Bing Chen. "Bayesian structure selection for vector autoregression model." Journal of Forecasting 38, no. 5 (February 21, 2019): 422–39. http://dx.doi.org/10.1002/for.2573.
Full textEricsson, Neil R., and Erica L. Reisman. "Evaluating a Global Vector Autoregression for Forecasting." International Advances in Economic Research 18, no. 3 (May 30, 2012): 247–58. http://dx.doi.org/10.1007/s11294-012-9357-0.
Full textBurbidge, John B., L. Magee, and Michael R. Veall. "On the seasonality of vector autoregression residuals." Economics Letters 18, no. 2-3 (January 1985): 137–41. http://dx.doi.org/10.1016/0165-1765(85)90168-5.
Full textKhatraty, Yahjeb Bouha, Nédra Mellouli Nauwynck, Mamadou Tourad Diallo, and Mohamedade Farouk Nanne. "Deep Predictive Models Based on IoT and Remote Sensing Big Time Series for Precision Agriculture." International Journal of Emerging Technology and Advanced Engineering 12, no. 11 (November 1, 2022): 79–88. http://dx.doi.org/10.46338/ijetae1122_09.
Full textBalatskiy, E. V., and M. A. Yurevich. "Inflation Forecasting: The Practice of Using Synthetic Procedures." World of new economy 12, no. 4 (June 3, 2019): 20–31. http://dx.doi.org/10.26794/2220-6469-2018-12-4-20-31.
Full textDing, Yishan, Dongwei He, Jun Wu, and Xiang Xu. "Crude Oil Spot Price Forecasting Using Ivanov-Based LASSO Vector Autoregression." Complexity 2022 (November 21, 2022): 1–10. http://dx.doi.org/10.1155/2022/5011174.
Full textZarepour, M., and S. M. Roknossadati. "MULTIVARIATE AUTOREGRESSION OF ORDER ONE WITH INFINITE VARIANCE INNOVATIONS." Econometric Theory 24, no. 3 (January 22, 2008): 677–95. http://dx.doi.org/10.1017/s0266466608080286.
Full textLi, Xiaozhong, and Feng Huang. "Empirical Study on the Relationship between Agricultural Economic Structure Growth and Environmental Pollution Based on Time-Varying Parameter Vector Autoregressive Model." Journal of Environmental and Public Health 2022 (August 10, 2022): 1–11. http://dx.doi.org/10.1155/2022/5684178.
Full textBuldygin, V. V., and V. A. Koval. "Convergence to Zero and Boundedness of Operator-Normed Sums of Random Vectors with Application to Autoregression Processes." gmj 8, no. 2 (June 2001): 221–30. http://dx.doi.org/10.1515/gmj.2001.221.
Full textKÜÇÜKEFE, Bige, and Dündar Murat DEMİRÖZ. "FAVAR (Factor-Augmented Vector Autoregression) Modeli Literatür Taraması." Fiscaoeconomia 1, no. 2 (May 30, 2017): 38. http://dx.doi.org/10.25295/fsecon.295547.
Full textEmerencia, Ando Celino, Lian van der Krieke, Elisabeth H. Bos, Peter de Jonge, Nicolai Petkov, and Marco Aiello. "Automating Vector Autoregression on Electronic Patient Diary Data." IEEE Journal of Biomedical and Health Informatics 20, no. 2 (March 2016): 631–43. http://dx.doi.org/10.1109/jbhi.2015.2402280.
Full textLanne, Markku, and Jani Luoto. "GMM Estimation of Non-Gaussian Structural Vector Autoregression." Journal of Business & Economic Statistics 39, no. 1 (July 18, 2019): 69–81. http://dx.doi.org/10.1080/07350015.2019.1629940.
Full textNi, Shawn, Dongchu Sun, and Xiaoqian Sun. "Intrinsic Bayesian Estimation of Vector Autoregression Impulse Responses." Journal of Business & Economic Statistics 25, no. 2 (April 2007): 163–76. http://dx.doi.org/10.1198/073500106000000378.
Full textHyatt, Henry R., and Tucker S. McElroy. "Labor Reallocation, Employment, and Earnings: Vector Autoregression Evidence." LABOUR 33, no. 4 (April 21, 2019): 463–87. http://dx.doi.org/10.1111/labr.12153.
Full textCrompton, Paul, and Yanrui Wu. "Bayesian Vector Autoregression Forecasts of Chinese Steel Consumption." Journal of Chinese Economic and Business Studies 1, no. 2 (January 2003): 205–19. http://dx.doi.org/10.1080/1476528032000066703e.
Full textSanni, T. A. "Vector Autoregression on Nigerian Money and Agricultural Aggregates." Canadian Journal of Agricultural Economics/Revue canadienne d'agroeconomie 34, no. 1 (March 1986): 67–85. http://dx.doi.org/10.1111/j.1744-7976.1986.tb02193.x.
Full textKim, Jae H. "Asymptotic and bootstrap prediction regions for vector autoregression." International Journal of Forecasting 15, no. 4 (October 1999): 393–403. http://dx.doi.org/10.1016/s0169-2070(99)00006-0.
Full textShintani, Mototsugu. "A simple cointegrating rank test without vector autoregression." Journal of Econometrics 105, no. 2 (December 2001): 337–62. http://dx.doi.org/10.1016/s0304-4076(01)00084-7.
Full textNielsen, Heino Bohn, and Anders Rahbek. "Unit root vector autoregression with volatility induced stationarity." Journal of Empirical Finance 29 (December 2014): 144–67. http://dx.doi.org/10.1016/j.jempfin.2014.03.008.
Full textKolodzeij, Marek, and Robert K. Kaufmann. "Oil demand shocks reconsidered: A cointegrated vector autoregression." Energy Economics 41 (January 2014): 33–40. http://dx.doi.org/10.1016/j.eneco.2013.10.009.
Full textZhu, Xuening. "Nonconcave penalized estimation in sparse vector autoregression model." Electronic Journal of Statistics 14, no. 1 (2020): 1413–48. http://dx.doi.org/10.1214/20-ejs1693.
Full textCanarella, Giorgio, and Stephen K. Pollard. "Efficiency of commodity futures: A vector autoregression analysis." Journal of Futures Markets 5, no. 1 (1985): 57–76. http://dx.doi.org/10.1002/fut.3990050107.
Full textKim, Jae H. "Bias-corrected bootstrap prediction regions for vector autoregression." Journal of Forecasting 23, no. 2 (March 2004): 141–54. http://dx.doi.org/10.1002/for.908.
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