vector autoregressive model
Shadow Banking, Monetary Policy, and Confidence Effects in China: Empirical Research Using a Structural Vector Autoregressive Model
... structural vector autoregressive model to investigate the impacts of monetary policies and confidence in the economy with a spe- cial parallel financial ...
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The Index of the Financial Safety (IFS) of South Africa and Bayesian Estimates for IFS Vector Autoregressive Model
... Bayesian Vector Autoregressive (BVAR) modelling, Gibbs sampler and ...Bayesian Vector Autoregressive model with the Markov Chain Monte Carlo (MCMC) and Gibbs sampler estimation ...
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Effectiveness of Monetary Policy on Inflation Control and Economic Growth in Kenya: An Application of Factor Augmented Vector Autoregressive Model
... a vector of K endogenous variables while represents a vector of exogenous variables, and represents coefficients that are to be estimated while represents a vector of ...the model is augmented ...
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A structural vector autoregressive model of technical efficiency and delays with an application to Chinese airlines
... proposed model is a novel one that couples a distance function with a vector autoregressive model for technical inefficiency and a vector of covariates ...traditional model ...
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Handling missing data in multivariate time series using a vector autoregressive model-imputation (VAR-IM) algorithm
... involve autoregressive variables and the output is nor- mally a linear or nonlinear combination of a lagged ...of autoregressive models requires that the data be fully ...a vector ...
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UK regional nowcasting using a mixed frequency vector autoregressive model
... nowcasting model divided by the CRPS or RMSFE from the benchmark ...benchmark model from those for each of our VAR models; positive values now therefore indicate improved forecast accuracy, relative to the ...
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Government Spending Pattern and Macroeconomic Stability in Nigeria: A Vector Autoregressive (VAR) Model
... Macroeconomic stability has not kept pace with the pattern of public sector spending in majority of the developing countries. Unfortunately, past studies have mainly focused on the consequences of aggregate government ...
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The Effect of Macroeconomic Variables on the Capital Structure Decisions of Indian Firms: A Vector Error Correction Model/ Vector Autoregressive Approach
... This paper sheds light on how the macroeconomic variables affect the capital structure decisions in context to the equity market timing theory, for the firms of an emerging economy - India. The analysis is done through ...
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Empirical Research on the Relationship between Scientific Innovation and Economic Growth in Beijing
... a model about the dynamic relationship between scientific innovation and economic growth in Beijing, with VAR model (Vector Autoregressive Model), and choose the quantity of patent ...
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Entrepreneurship, growth and unemployment: A panel VAR approach
... The data construct an unbalanced panel with 30 cross section units (countries) and 42 time observations. Given the dynamic nature of the relationship between the variables in question we estimate a three-equation ...
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THE EFFECT OF OIL PRICE ON UNITED ARAB EMIRATES GOODS TRADE DEFICIT WITH THE UNITED STATES
... The results of the unit root test are reported in Table (3). The main conclusion of the test is that real exports are stationary at the level. Additionally, real imports and goods trade deficit are stationary at the ...
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Financial Development, Financial Instability and Economic Growth: The Case of Maghreb Countries
... panel vector autoregressive model estimation revealed that: (a) The financial development has positive effects on itself but a negative impact on the financial instability as well as a combined ...
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The Relationship between FDI outflows, Exports and GDP in India: An Application of the Autoregressive Distributed Lag Model
... test suggests that all variables are cointegrated when we used outbound FDI as the dependent variable. The results indicate that, though all the variables are helpful in explaining the long-run movement in FDI outflows, ...
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Essays on multi-sector macroeconomic models for policy analysis
... the model is a quite standard New-Keynesian setting with the usual nominal and real frictions, as in Smets and Wouters ...The model is further augmented with (i) two types of households–optimizers (or ...
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The Dynamics of the Monetary Policy Volatility: A Spectrum-vector Autoregressive Approach
... This paper investigates the impact of the international and domestic volatility of monetary policy shocks on the economy of New Zealand using the spectrum-SVAR approach. We enrich the SVAR model by using ...
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Stationary Vector Autoregressive Representation of Error Correction Models
... Model (3) obviously consists of all stationary variables of t and t under Assumption 2.1. We are now in- terested in the dynamic interaction between these vari- ables t and u t . In this regard, we may apply the ...
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Effect of negative shocks to electricity consumption on negative shocks to economic growth in Benin
... a Vector Autoregressive (VAR) model comprising variables such as growth, energy consumption, capital and labour, established for three of these countries, including Benin, the existence of a causal ...
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Deficit Financing and Inflation in Bangladesh: A Vector Autoregressive Analysis
... 18 The Jahangirnagar Economic Review, 21(2010): 9-26 The optimal lag order is 11 as determined by the likelihood ratio. A lag of this length is long enough to ensure that autocorrelation is eliminated from the residuals ...
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Modelling and forecasting volatile data by using ARIMA and GARCH models
... Box-Jenkins Autoregressive Integrated Moving Average (ARIMA) model and Generalized Autoregressive Conditionally Heteroscedasticity (GARCH) ...ARIMA model have been used widely in many areas of ...
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Oil Price Shocks and Uncertainty: How stable is their relationship over time?
... SVAR model, reveal that oil supply shocks do not exercise any significant impact on uncertainty ...TVP-VAR model we show that impulse responses of the uncertainty indices to the three oil price shocks are ...
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