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 ...
The model assumed is first-order autoregressive with contemporaneous correlation between cross sections. In this model, the covariance matrix for the vector of random errors u can be expressed as A ...
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 ...
Bayesian Vars: A Survey of the Recent Literature with An Application to the European Monetary System
This paper reviews recent advances in the specification and estimation of Bayesian Vector Autoregressive models (BVARs). After describing the Bayesian principle of estimation, we first present the ...
This paper presents an exchange rate model for the Euro exchange rates of four major currencies, namely the US dollar, the British pound, the Japanese yen and the Swiss franc. The model is based on ...
This course introduces students to advanced methods used in econometrics and forecasting. Topics include time-series analysis; testing and model selection; simultaneous equations; nonstationarity; ...
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 ...
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