On Model Reduction And Multiperiod Ahead Prediction In Vector Autoregressive Models
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Author | : Pieter W. Otter |
Publisher | : |
Total Pages | : 6 |
Release | : 1991 |
Genre | : Econometric models |
ISBN | : |
Download On Model Reduction and Multiperiod Ahead Prediction in Vector Autoregressive Models Book in PDF, Epub and Kindle
Author | : |
Publisher | : |
Total Pages | : 558 |
Release | : 1974 |
Genre | : Econometrics |
ISBN | : |
Download Memorandum from Institute of Economic Research, Faculty of Economics, University of Groningen Book in PDF, Epub and Kindle
Author | : Ralf Brüggemann |
Publisher | : Springer Science & Business Media |
Total Pages | : 226 |
Release | : 2012-09-25 |
Genre | : Mathematics |
ISBN | : 3642170293 |
Download Model Reduction Methods for Vector Autoregressive Processes Book in PDF, Epub and Kindle
1. 1 Objective of the Study Vector autoregressive (VAR) models have become one of the dominant research tools in the analysis of macroeconomic time series during the last two decades. The great success of this modeling class started with Sims' (1980) critique of the traditional simultaneous equation models (SEM). Sims criticized the use of 'too many incredible restrictions' based on 'supposed a priori knowledge' in large scale macroeconometric models which were popular at that time. Therefore, he advo cated largely unrestricted reduced form multivariate time series models, unrestricted VAR models in particular. Ever since his influential paper these models have been employed extensively to characterize the underlying dynamics in systems of time series. In particular, tools to summarize the dynamic interaction between the system variables, such as impulse response analysis or forecast error variance decompo sitions, have been developed over the years. The econometrics of VAR models and related quantities is now well established and has found its way into various textbooks including inter alia Llitkepohl (1991), Hamilton (1994), Enders (1995), Hendry (1995) and Greene (2002). The unrestricted VAR model provides a general and very flexible framework that proved to be useful to summarize the data characteristics of economic time series. Unfortunately, the flexibility of these models causes severe problems: In an unrestricted VAR model, each variable is expressed as a linear function of lagged values of itself and all other variables in the system.
Author | : Joannes Gerardus Gooijer |
Publisher | : |
Total Pages | : 13 |
Release | : 1992 |
Genre | : |
ISBN | : |
Download On the Cumulated Multi-step-ahead Predictions of Vector Autoregressive Moving Average Processes Book in PDF, Epub and Kindle
Author | : |
Publisher | : |
Total Pages | : 596 |
Release | : 1992-06-26 |
Genre | : Economics |
ISBN | : |
Download Contents of Recent Economics Journals Book in PDF, Epub and Kindle
Author | : Jen-Che Liao |
Publisher | : |
Total Pages | : 54 |
Release | : 2018 |
Genre | : |
ISBN | : |
Download Optimal Multi-Step VAR Forecasting Averaging Book in PDF, Epub and Kindle
This paper proposes frequentist multiple-equation least squares averaging approaches for multi-step forecasting with vector autoregressive (VAR) models. The proposed VAR forecasting averaging methods are based on the multivariate Mallows model averaging (MMMA) and multivariate leave-h-out cross-validation averaging (MCVAh) criteria (with h denoting the forecast horizon), which are valid for iterative and direct multi-step forecasting averaging, respectively. Under the framework of stationary VAR processes of infinite order, we provide theoretical justifications by establishing asymptotic unbiasedness and asymptotic optimality of the proposed forecasting averaging approaches. Specifically, MMMA exhibits asymptotic optimality for one-step ahead forecast averaging, whereas for direct multi-step forecasting averaging the asymptotically optimal combination weights are determined separately for each forecast horizon based on the MCVAh procedure. The finite-sample behaviour of the proposed averaging procedures under misspecification is investigated via simulation experiments. An empirical application to a three-variable monetary VAR, based on the U.S. data, is also provided to present our methodology.
Author | : Perez M. |
Publisher | : Createspace Independent Publishing Platform |
Total Pages | : 176 |
Release | : 2016-06-24 |
Genre | : |
ISBN | : 9781534868076 |
Download MULTIVARIATE TIME SERIES ANALYSIS with MATLAB. VAR and VARMAX MODELS Book in PDF, Epub and Kindle
This book focuses on Multivariate Time Series Models. The most important issues are the following: Vector Autoregressive Models Introduction to Vector Autoregressive (VAR) Models Data Structures Model Specification Structures VAR Model Estimation VAR Model Forecasting, Simulation, and Analysis VAR Model Case Study Cointegration and Error Correction Introduction to Cointegration Analysis Identifying Single Cointegrating Relations Identifying Multiple Cointegrating Relations Testing Cointegrating Vectors and Adjustment Speeds
Author | : Marcus J. Chambers |
Publisher | : |
Total Pages | : |
Release | : 1990 |
Genre | : Economics |
ISBN | : |
Download An approach to multi-step ahead prediction in vector linear time series models Book in PDF, Epub and Kindle
Author | : |
Publisher | : |
Total Pages | : 688 |
Release | : 1974 |
Genre | : Economic research |
ISBN | : |
Download Locationele effecten van de verdubbeling van de N37/N34 Book in PDF, Epub and Kindle
Author | : R.W. ANDREWS |
Publisher | : |
Total Pages | : 18 |
Release | : 1976 |
Genre | : |
ISBN | : |
Download MULTIPERIOD PREDICTIONS FROM AN AUTOREGRESSIVE MODEL USING EMPIRICAL BAYES METHODS Book in PDF, Epub and Kindle