vector autoregression
LASSO vector autoregression structures for very short-term wind power forecasting
... the vector autoregression (VAR) model using the Least Absolute Shrinkage and Selection Operator (LASSO) ...and vector autoregressive models, as well as a sparse-VAR model from the state of the ...
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Deficit Financed Public Expenditure in Argentina: A Structural Vector Autoregression Analysis
... The main finding is that government debt has a crucial role for the implications of the model, and that the omission of the feedback of the debt (as a ratio of GDP) to the other variables in the system leads to very ...
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Monetary transmission mechanism in Vietnam after the Asian financial crisis (1999-2006) : a structural vector autoregression model
... structural vector autoregression (VAR) models allow a differentiation between domestic monetary aggregate and foreign currency aggregate in the banking system as well as domestic currency interest rate and ...
179
The Monetary Transmission Mechanism in Canada: A Time-Varying Vector Autoregression with Stochastic Volatility
... This study uses the state-space representation of a time-varying vector autoregression with stochastic volatility (TVP-VAR-SV) to study monetary policy and private sector behaviour in Canada. The main ...
10
Interest Rate Channel and Real Economy in Nigeria: A Bayesian Vector Autoregression Approach
... Bayesian vector autoregression (BVAR) model because of its numerous advantages and as used in other countries such as Canada (Rokon, 2008), Romania (Spulbar and Nitoi, 2013) and Nigeria (CBN, ...
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Terms of Trade and Current Account Fluctuations: a Vector Autoregression Approach
... From the perspective of the vector autoregression (VAR) framework here adopted, the impulse-response functions are interpreted as resulting from unanticipated-permanent shocks. The results show that ...
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LASSO vector autoregression structures for very short-term wind power forecasting
... the vector autoregression (VAR) model using the Least Absolute Shrinkage and Selection Operator (LASSO) ...and vector autoregressive models, as well as a sparse-VAR model from the state of the ...
24
The Endogeneity of Oil Price Shocks and Their Effects on Indonesia: A Structural Vector Autoregression Model
... Structural Vector Autoregression ...structural Vector Autoregression (SVAR) model was constructed extending Kilian (2009) model by employing several lags constraints in the model as Indonesia ...
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The dynamic causality between corporate social responsibility and corporate political activity: a panel vector autoregression approach
... panel vector autoregression (VAR) model within the framework of generalized method of moments (GMM) with consideration to the time invariant characteristics of each ...
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Is Bank Portfolio Riskiness Procyclical? Evidence from Italy using a Vector Autoregression
... This paper is an attempt to analyze both the effects using a vector autoregression (VAR) approach. With respect to cross-sectional or panel techniques, VAR’s allow to fully capture the interactions among ...
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Causal Relations among Macroeconomic Variables under Various Exchange Rate Levels: An Implementation of Threshold Vector Autoregression Model
... As known that there is a strong correlation among financial markets, macroeconomic indicators and the fiscal policies. There are various studies that appeal the interaction between among several macroeconomic ...
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Effect of Exchange Rate, Foreign Direct Investment and Portfolio Investment on the Indonesian Economy: A Structural Cointegrating Vector Autoregression Approach
... This study develops macroeconomic models that involves the output gap, the level of prices, interest rates, exchange rates, current account, foreign direct investment and portfolio investment. The modeling adapts to the ...
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Vector autoregression with varied frequency data
... The Vector Autoregression (VAR) model has been extensively applied in macroeconomics. A typical VAR requires its component variables being sam- pled at a uniformed frequency, regardless of the fact that ...
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Fiscal expenditure and traffic sector growth: Evidence from panel error correction model and panel vector autoregression in China
... panel vector autoregression (PVAR) to examine the effect of fiscal expenditure on traffic sector growth in China, using 31 provinces panel data for the time period ...
10
FORECASTING INFLATION IN NIGERIA: A VECTOR AUTOREGRESSION APPROACH
... The major objective of this study is to forecast the future path of inflation and its key determinants in Nigeria. For this, the study employed a Vector Autoregression (VAR) model. The study revealed that ...
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GMM Estimation of Non-Gaussian Structural Vector Autoregression
... We consider estimation of the structural vector autoregression (SVAR) by the generalized method of moments (GMM). Given non-Gaussian errors and a suitable set of moment conditions, containing a sufficient ...
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A Panel Vector Autoregression Analysis of Sudden Stops and Banking Crises
... Recent empirical literature on sudden stops and banking crises suggests the interaction of these crises is particularly harmful to the real economy. Despite this, very little empirical research has been undertaken to ...
10
Investigating the Impact of Monetary Policy using the Vector Autoregression Method
... Careful identification of the transmission channels of monetary policy is an important step in the global assessment of the major institutional changes. Research in this area should be constantly updated because of the ...
10
Financial Sector Development and Poverty Reduction in Nigeria: A Vector Autoregression Analysis (1980-2010)
... This study examines the nexus between financial sector development and poverty reduction in Nigeria using Vector autoregressive (VAR) model. The choice of the study has been motivated by the alleged failure of the ...
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FEASIBILITY OF THE PROPOSED MONETARY UNION IN EAST AFRICAN COMMUNITY: STRUCTURAL VECTOR AUTOREGRESSION APPROACH
... Theory of Optimum Currency Area (OCA) being the most instructive construct in establishment of a monetary union, has listed criteria to be fulfilled prior to establishment of monetary union. This study examined ...
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