The vector autoregressive model has long been used for portfolio analysis, while a recent extension (VARX) incorporates exogenous factors. Despite its increased forecasting precision, the ...
Both sides of the institutions and growth debate have resorted largely to microeconometric techniques in testing hypotheses. In this paper, I build a panel structural vector autoregression (SVAR) ...
This paper investigates spillovers between electricity supply shocks and US growth, using monthly data from forty-eight US states from January 2001 to September 2016, and employs a novel strategy for ...
The regression model with autocorrelated disturbances is as follows: In these equations, y t are the dependent values, x t is a column vector of regressor variables, is a column vector of structural ...
This is a preview. Log in through your library . Abstract An expression for the likelihood function of a stationary vector autoregressive-moving average process is developed. The expression is very ...
A model with first-order autoregressive errors, AR(1), has the form while an AR(2) error process has the form and so forth for higher-order processes. Note that the ...
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