Vector Autoregressive (VAR)
PC VAR Estimation of Vector Autoregressive Models
... of vector autoregressive models (VAR) is ...affecting VAR models, when estimated using sample sizes typically available in quarterly ...a vector time series, and the recovery of the ...
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Economic Growth, Financial and Trade Globalization in the Philippines: A Vector Autoregressive Analysis
... Vector Autoregressive (VAR) model is one of the most successful, flexible and easy to use model for the analysis of multivariate time ...univariate Autoregressive (AR) models ...Basically, ...
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Handling missing data in multivariate time series using a vector autoregressive model-imputation (VAR-IM) algorithm
... a vector autoregressive (VAR) model by combining an expectation and minimization (EM) algorithm with the prediction error minimization (PEM) ...a vector autoregressive imputation method ...
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Forecasting Chinese inflation and output: A Bayesian vector autoregressive approach
... Bayesian vector autoregressive (VAR) models for forecasting price inflation and output growth in ...some VAR coefficients to be close to zero, perform better than models with Normal ...
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Stationary Vector Autoregressive Representation of Error Correction Models
... stationary vector autoregressive (VAR) representation of the error correction model ...standard VAR models possible, particularly with respect to the cointegration ...explicit VAR form, ...
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Deficit Financing and Inflation in Bangladesh: A Vector Autoregressive Analysis
... Bangladesh, which has suffered greatly from inflationary pressures in the recent past, is a country in which the causes of inflation are difficult to pinpoint (Islam et al., 2008). Most recent studies of the underlying ...
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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
... 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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Is Monetary Policy a Growth Stimulant in Nigeria? A Vector Autoregressive Approach
... This paper employed the by Sim (1980, 1992) Vector Autoregressive (VAR) model in analyzing the dynamic interaction between monetary policy variables and economic growth in Nigeria. Other tests like ...
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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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Model uncertainty in panel vector autoregressive models
... This paper develops Bayesian methods for estimation and model selection with large PVARs. PVARs are used in several research fields, but are most commonly used by macroeconomists or financial economists working with data ...
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Model Uncertainty in Panel Vector Autoregressive Models
... the VAR specification can explicitly allow an endogenous variable of interest ...the autoregressive structure of a PVAR, concerns about endogeneity are eliminated and the usual macroeconomic exercises ...
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The Study on the Correlation between Wholesale Price and Trading Volume in Taiwan Milkfish Market
... test, vector autoregressive (VAR) model, Granger causality test, and impulse response function are applied in this study to explore the correlation between wholesale price and trading volume of ...
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Derivatives markets and real economic activity
... In accordance with the structure and pattern of time series data, this chapter aims at developing a Vector Autoregressive (VAR) process to analyze the changes in monetary policy transm[r] ...
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Impact of Inflation on Stock Exchange Market Returns
... multivariate Vector Autoregressive (VAR) to find the impact of inflation and other macroeconomic variables on stock market index conditions and found out that inflation and interest rate have ...
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MODEL FOR MINIMUM AND MAXIMUM TEMPERATURE OF THE UPPER EAST REGION OF GHANA
... a Vector Autoregressive (VAR) model to jointly forecast minimum and maximum temperature ...the VAR (p) model can be fitted to the data based on the Lag selection for the model using the AIC, ...
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Time Series Analysis and Forecast of GDP in Ethiopia: Evidence from Ethiopian Data
... and Vector Error Correction (VEC) Models are the statistical methods were used in this ...The vector autoregressive (VAR) model is employed for ...
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Bayesian analysis of cointegrated vector autoregressive models
... In this chapter we deal with testing for multiple structural breaks in a vector error correction model as a problem of model selection and approximate the Bayes factors by Schwarz's Baye[r] ...
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1 The Daily and Hourly Rainfall Data Modeling using
... Vector Autoregressive (VAR) model is one of multivariate time series models which has dinamic 82. interrelationship among variabels.[r] ...
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Search | Preprints
... Tsay, The most used multivariate time series model is the vector autoregressive (VAR).. 88[r] ...
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Improving Bayesian VAR density forecasts through autoregressive Wishart Stochastic Volatility
... a vector autoregressive model (VAR) model with stochas- tic volatility which appeals to the Inverse Wishart ...contemporary VAR forecasting ...the VAR innovation vari- ance as a ...
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