Autoregression Model
The Endogeneity of Oil Price Shocks and Their Effects on Indonesia: A Structural Vector Autoregression Model
... Vector Autoregression (SVAR) model was constructed extending Kilian (2009) model by employing several lags constraints in the model as Indonesia is a small open ...
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Causal Relations among Macroeconomic Variables under Various Exchange Rate Levels: An Implementation of Threshold Vector Autoregression Model
... VAR model to examine the relations between BIS100 index and exchange rates, gold, import and export values for the periods of January 1996–October ...VAR model from 2001 to 2007 examines the relationship ...
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Estimation of a Structural Vector Autoregression Model Using Non-Gaussianity
... the model. We show that this variant of the model is identifiable without other restrictions on the network structure than acyclicity and no latent ...no model proposed for this problem has been ...
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Fiscal expenditure and traffic sector growth: Evidence from panel error correction model and panel vector autoregression in China
... correction model examine the equilibrium relationship between the variables in the long run and the fluctuation in the short ...vector autoregression model) to check whether a stationary linear ...
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Central Bank Communication, Ambiguity and Market Interest Rates: A Case Study
... Vector Autoregression model is estimated and the results show that am- biguous messages were able to affect agents’ expectations for a limited period after a speech by ECB members; more- over, they show ...
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Autoregression as a means of assessing the strength of seasonality in a time series
... the simulated data. When φ 1 = 0.9, for example, highly correlated observations are generated. When parameter φ 12 is nonzero, the model generates observations with a stochastic seasonal component. Similarly, ...
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The Roadmap of Interest Rate Liberalization in China
... Vector autoregression model (VAR) is estimated to investigate the effectiveness of Chinese market interest rates, Shanghai Interbank Offered Rate (SHIBOR), and repo rates against different factors such as ...
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Vector autoregression with varied frequency data
... Vector Autoregression (VAR) proposed by Christopher Sims (1980) is a workhorse model for forecasting as well as studying cause and effect in the ...An autoregression model implicitly assumes ...
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On the Linkages between India VIX and US Financial Stress Index
... VAR model captures dynamic interactions among the variables undertaken, so, another advantage of employing the latter framework is to check the cause and effect relationship among the variables under the Block ...
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A Panel Vector Autoregression Analysis of Sudden Stops and Banking Crises
... vector autoregression model for each of the ...vector autoregression estimates are shown in Table 2 where the columns under VAR 1 represent estimates when banking crises occur by themselves, the ...
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FORECASTING INFLATION IN NIGERIA: A VECTOR AUTOREGRESSION APPROACH
... Before estimating equations (2) and (3), we have to decide on the maximum Lag length, K. This is an empirical question. We have 42 observations in all. Including too many lagged terms will consume degrees of freedom, not ...
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North American Oriented Strand Board Markets, Arbitrage Activity, and Market Price Dynamics: A Smooth Transition Approach
... thereby allowing for the possibility of a transactions cost band. Both the ESTAR and GESTAR become linear as γ → 0 but as well when γ → ∞. The ESTAR setup is therefore capable of modeling a spatial market setting wherein ...
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Factor Proportions Wages in a Structural Vector Autoregression
... The wage impacts of changing labor and capital endowments suggest factor proportions theory should move beyond the capital-labor model, and energy is found to have a stronger wage impact than capital. Labor is its ...
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Crude oil price variability and its impact on ethanol prices
... Abstract: The world annual biofuel production has exceeded 100 billion litres in 2009. The development of the biofuel production is partly influenced by the government support programs and partly by the development of ...
10
The macroeconomic and financial effects of oil price shocks
... In Figure 2, we impose an increase in interest rates as monetary policy to investigate the responses among variables in the VAR model. Firstly, the oil price decreased after a 6- period slight growth and in short ...
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Ergodicity conditions for a double mixed Poisson autoregression
... Count time series analysis has recently seen an "explosive" interest (see e.g. Davis and Liu, 2016) where numerous models and methods have been introduced. Zhu et al. (2010) proposed a Poisson (…nite) mixture ...
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A Review: Prognostics and Health Management in Automotive and Aerospace
... feature extraction and a long short-term memory (LSTM) based damage identification. After the application of a multi- Gaussian fitting method to extract meaningful and discrim- inative features, a proper LSTM neural ...
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Supplementary appendix to "noncausal vector autoregression"
... where the last expression equals I#2 0 and the latter equality can be justi…ed by using the de…nition of J0 , the identity S.7, and arguments similar to those already used in the case [r] ...
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Autoregression Based Estimation of the New Keynesian Phillips Curve
... best-…tting model among the alternative AR(r; s) speci…cations. As the AR(p) model has been found to adequately capture the autocorrelation in the series, it seems reasonable to restrict oneself to models ...
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Modeling mechanism of economic growth using threshold autoregression models
... panel model for 27 EU countries and found no support for the view that when monetary policy effectiveness is constrained (when short-term interest rates reached or are close to the lower zero bound), contractionary ...
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