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vector auto regression (VAR)

The INR/USD Exchange Rate Determination: An Empirical Investigation of the Flexible Price Monetary Model in a Vector Auto Regression Framework

The INR/USD Exchange Rate Determination: An Empirical Investigation of the Flexible Price Monetary Model in a Vector Auto Regression Framework

... the Vector Auto regression (VAR) framework and variance decomposition analysis was used to examine fluctuation in INR/USD ex- change rate caused by the shocks in FPM model ...

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Economic Analysis of Price Shocks of Production Inputs and Their Impact on Cotton Price in Iran: The Application of Panel Data Vector Auto-Regression (PVAR) Model

Economic Analysis of Price Shocks of Production Inputs and Their Impact on Cotton Price in Iran: The Application of Panel Data Vector Auto-Regression (PVAR) Model

... on vector auto-regression method (VAR) in that the property of the stationarity of the variables was ...data-based vector auto-regression model (PVAR) can be used to cope with ...

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Comparison of Neural Network Models, Vector Auto Regression (VAR), Bayesian Vector-Autoregressive (BVAR), Generalized Auto Regressive Conditional Heteroskedasticity (GARCH) Process and Time Series in Forecasting Inflation in ‎Iran‎

Comparison of Neural Network Models, Vector Auto Regression (VAR), Bayesian Vector-Autoregressive (BVAR), Generalized Auto Regressive Conditional Heteroskedasticity (GARCH) Process and Time Series in Forecasting Inflation in ‎Iran‎

... forecasting vector auto regression (VAR), Bayesian Vector- Autoregressive (BVAR), GARCH, time series and neural network models by which Iran’s inflation is ...

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Trade Balance Analysis in Zimbabwe: Import and Export Examination Using Vector Auto Regression Model

Trade Balance Analysis in Zimbabwe: Import and Export Examination Using Vector Auto Regression Model

... The paper concentrated on trade balance analysis in Zimbabwe. The trend of imports and exports have been observed and analysed, paying particular attention to significant observed patterns for the period under study. The ...

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Inflation and output growth dynamics in South Africa: Evidence from the Markov switching vector auto regression model

Inflation and output growth dynamics in South Africa: Evidence from the Markov switching vector auto regression model

... It is often standard to model inflation-output trade-off as a linear relationship with time-invariant Phillips curve slope (See Ball et al., 1988; Dotsey et al., 1999). However, a number of studies have challenged the ...

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Economic Analysis Of The Determinants Of Foreign Direct Investment (FDI) In Nigeria

Economic Analysis Of The Determinants Of Foreign Direct Investment (FDI) In Nigeria

... used Vector Auto Regression (VAR) analysis and observed that Interest Rate, Inflation Rate and RGDP (economic growth) put together have significant positive impact on FDI in Nigeria, while Mohammed ...

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Exchange rate pass through to consumer prices in Ghana: Evidence from structural vector auto regression

Exchange rate pass through to consumer prices in Ghana: Evidence from structural vector auto regression

... A number of empirical studies, however, suggest that the response of consumer prices to exchange rate changes in the Sub-Saharan African (SSA) is low, and in some cases even zero. For instance, Frimpong and Adam (2010) ...

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Analysis of the relationship between Oil price, Exchange rate and Stock market in Nigeria

Analysis of the relationship between Oil price, Exchange rate and Stock market in Nigeria

... of Vector Auto Regression (VAR) method between January 2007 - December 2011, the study applies the co- integration analysis, multivariate Granger causality test, Impulse Response Function (IRF) and ...

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MODEL FOR MINIMUM AND MAXIMUM TEMPERATURE OF THE UPPER EAST REGION OF GHANA

MODEL FOR MINIMUM AND MAXIMUM TEMPERATURE OF THE UPPER EAST REGION OF GHANA

... Vector Auto Regression model (VAR) model is used to capture the linear interdependencies among observed data. VAR models generalize the autoregressive (AR) model described above by allowing for more ...

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The Impact of Commodity Prices, Interest Rate and Exchange Rate on Stock Market Performance: Evidence from Zambia

The Impact of Commodity Prices, Interest Rate and Exchange Rate on Stock Market Performance: Evidence from Zambia

... employed Auto Regression Distribution Lag (ARDL) bound tests, Vector Auto Regression (VAR) based cointegration test methodology by Johan- sen (1996) to analyse the Impact of the ...

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Is Latin America an Optimal Currency Area? Evidence from a Structural Vector Auto regression analysis

Is Latin America an Optimal Currency Area? Evidence from a Structural Vector Auto regression analysis

... Table 6 also shows that the size of shocks are on average higher in countries that showed a high level of trade and intra-trade openness, such as Chile, Paraguay, Ecuador and Venezuela..[r] ...

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Unit Roots in White Noise

Unit Roots in White Noise

... In particular, even if the process is a white noise, the roots of the estimated vector auto-regression will converge by absolute value to unity. Therefore, caution is recommended when fi nding a ...

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The effect of crude oil price change and volatility on Nigerian economy

The effect of crude oil price change and volatility on Nigerian economy

... Structural Vector Auto Regression (SVAR) model to monthly data series from January 1970 to May 2011, impulse response functions are calculated to see the influences among the crude oil price, Nigeria ...

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A Survey of Trust related Routing Protocols for Mobile Ad Hoc Networks

A Survey of Trust related Routing Protocols for Mobile Ad Hoc Networks

... The vector auto regression based trust model was introduced to identify malicious nodes that launch multiple attacks in the network which incorporated over AODV and optimized link state routing ...

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IMPACT OF EXCHANGE RATE VOLATILITY ON ECONOMIC GROWTH IN NIGERIA (1980-2016)

IMPACT OF EXCHANGE RATE VOLATILITY ON ECONOMIC GROWTH IN NIGERIA (1980-2016)

... of vector auto regression (VARs) models on the time series data, the result reveal that supply of foreign exchange has a positive and significant relationship with output level of Gross Domestic ...

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How Does Monetary Policy Affect Economic Vulnerability to Oil Price Shock as against US Economy Shock?

How Does Monetary Policy Affect Economic Vulnerability to Oil Price Shock as against US Economy Shock?

... structural vector auto regression (SVAR) model using monthly data from 2002:M1 to 2013:M4 for Indonesia, Malaysia, and Thailand shows that poor influence of monetary policies on monetary policy ...

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Noise Exposure Parameters of Auto Rickshaws Compare by Statistical Regression Technique

Noise Exposure Parameters of Auto Rickshaws Compare by Statistical Regression Technique

... (12) auto rickshaw drivers in South Kolkata city of India are ...The auto rickshaw drivers are informed verbally just before the readings taken about the requirement and necessity of this ...the auto ...

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The influence of cold weather on the usage of emergency link calls: a case study in Hong Kong

The influence of cold weather on the usage of emergency link calls: a case study in Hong Kong

... strong auto- correlation that persists across different lags. In fact, the auto-correlation at lags 1–34 range from ...Similar auto-correlation among the humidity and temper- ature range variables ...

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Predictive distribution of regression vector and residual sum of squares for normal multiple regression model

Predictive distribution of regression vector and residual sum of squares for normal multiple regression model

... multiple regression model with independent normal ...sample regression vector (SRV) and the residual sum of squares (RSS) for the model are derived by using invariant ...future regression ...

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Weighted tree-based cluster ensembles for high dimensional data

Weighted tree-based cluster ensembles for high dimensional data

... The increasing size of datasets is particularly evident in the field of bioinformatics. It is unlikely that analyzing these large datasets with a single model will produce an accurate solution. This has led to the ...

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