[PDF] Top 20 Model uncertainty in panel vector autoregressive models
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Model uncertainty in panel vector autoregressive models
... and model selection methods to deal with such high dimensional parameter ...and model selection methods to estimate VARs with hundreds or even thousands of ...the panel nature of the ... See full document
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Model Uncertainty in Panel Vector Autoregressive Models
... unrestricted model and a large number of potentially interesting restricted ...each model along with the probabilities attached to each ...regression models, with notable early contributions by ... See full document
26
A Structural Vector Autoregressive (SVAR) model for the Hungarian labour market
... Structural Vector Autoregressive (SVAR) model with particular attention to the Hungarian labour ...DSGE models for Hungary, we found a positive response of employment with respect to monetary ... See full document
30
An Inventory Decision Model of Two Products with Vector Autoregressive Demand
... Companies ........................................................................................................................................................ 22 ID332: Evaluating Government Policies On Technical ... See full document
25
An Inventory Decision Model of Two Products with Vector Autoregressive Demand
... When no samples are available to estimate aprobability distribution, we have to invite some domain experts toevaluate the belief degree that each event will occur. Perhaps some people think that the belief degree ... See full document
57
Regularized Estimation and Testing for High-Dimensional Multi-Block Vector-Autoregressive Models
... by vector autoregressive processes and are influenced by blocks higher in the system ...posited model for Gaussian data in the high-dimensional setting based on appropriate regularization schemes for ... See full document
49
Bayesian Model Selection and Forecasting in Noncausal Autoregressive Models
... AR(r,s) models are shown in the upper panel of Table ...The model with the greatest posterior probability is the purely noncausal AR(0,3) ...same model as the model selection procedure ... See full document
32
Bayesian analysis of a vector autoregressive model with multiple structural breaks
... In this section Monte Carlo simulation is conducted to examine the performance of the approach outlined in the previous sections. Two structural breaks are given in artificially generated data for both simula- tions. We ... See full document
11
Partial Cointegrated Vector Autoregressive Models with Structural Breaks in Deterministic Terms
... full model in JMN is also reexamined as a basis for the required asymptotic study, and this reexamination can be viewed as a useful clarification of roles of a set of starting values in the workings of the ... See full document
35
Noninformative Priors and Frequentist Risks of Bayesian Estimators of Vector-Autoregressive Models
... the model design influence the performance of Bayesian ...given model, a larger sample size (T ) makes smaller the effect of prior choice on the ...the model. We will denote the VAR model (4) ... See full document
45
Interest rate pass-through estimates from vector autoregressive models
... ADL models (results not reported) show that both para- meters of interest (impact und long-run multipliers) are relatively independent of the lag order choice and of whether we estimate the ADL model in ... See full document
32
Bayesian Averaging of Classical Estimates in Asymmetric Vector Autoregressive (AVAR) Models
... 3-dimensional vector time-series dataset 9 was generated from a VAR or VARMA; for that particular dataset, all possible AVAR models were estimated given a maximum number of lags c , as well as their ... See full document
35
Estimation and Inference in Functional Coefficient Spatial Autoregressive Panel Data Models with Fixed Effects
... fixed-effects panel data model. Some potential applications of our model, for instance, include the estimation of growth mod- els that explicitly account for technological interdependence between ... See full document
41
The Effects of Oil Price Shocks on Discretionary Fiscal Policy in Selected OPEC Countries: Panel Structural Vector Autoregressive
... Regarding economic growth, it can be claimed that all of the present variables in the model affect this variable. Mardokhi (1999), Komijani and Alavi (1999), and Fallahi et al. (2012) evaluated the impact of the ... See full document
19
Threshold quantile autoregressive models
... the vector of estimators θ. On the other hand, if the threshold model is discontinuous, the estimator b b γ converges at a faster rate (T −consistent), and is therefore independent of the vector of ... See full document
31
Necessary Conditions for Isolation of Special Classes of Bilinear Autoregressive Moving Average Vector (BARMAV) Models
... In this section, conditions for isolation of special classes of bilinear autoregressive moving average vector models are considered. Usoro [15] identified special classes of bilinear time series ... See full document
8
Alternative GMM Estimators for First order Autoregressive Panel Model: An Improving Efficiency Approach
... This paper considers first-order autoregressive panel model which is a simple model for dynamic panel data (DPD) models. The generalized method of moments (GMM) gives efficient ... See full document
20
UK regional nowcasting using a mixed frequency vector autoregressive model
... our models on (as close as possible to, as explained in the Data Appendix) first-release estimates and evaluating each nowcast relative to the ONS’s first estimate of regional ... See full document
37
Inflation Targeting as A Monetary Policy in Nigeria: An Application of Vector Autoregressive (VAR) Model
... Arestis and Sawyer (2003) refer inflation targeting to be the ‘New Monetary Policy’, which is characterized by: a numerical and official inflation target; monetary policy exercised through interest rates; an independent ... See full document
10
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 ... See full document
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