VECTOR autoregression modelECOLOGICAL momentary assessments (Clinical psychology)DYNAMICAL systemsPHYSICAL training & conditioningSYNCHRONIC orderPsychopathological disorders are increasingly conceptualized as complex dynamic systems, which can be represented as networks of interconnected symptoms. These dynamic networks...
The spillover index method proposed by Diebold and Yilmaz (2012, 2014) under the framework of the vector autoregression (VAR) model based on variance decomposition can describe the influence brought about by the internal information transmission of a system. However, the Diebold–Yilmaz (DY) model...
Store the submodels in a vector with order corresponding to the regimes in tt.StateNames. Get % Constants (numSeries x 1 vectors) C1 = [1; -1]; C2 = [2; -2]; C3 = [3; -3]; % Autoregression coefficients (numSeries x numSeries matrices) AR1 = {}; % 0 lags AR2 = {[...
The dynamic econometric analysis was conducted by establishing Vector Autoregression Model (VAR)38on the input–output indicators of all factors of production in Guangxi construction industry. There are four steps, firstly, unit root test is conducted to determine whether the panel data constitute a ...
Data is a 1000-by-1 vector of simulated responses. Create Model for Estimation Create a partially specified Markov-switching dynamic regression model that has the same structure as the data-generating process, but specify an unknown transition matrix and unknown regression coefficients. Specify the tr...
On the basis of China’s provincial panel data from 2008 to 2020, this paper constructs a panel vector autoregression (PVAR) model, to clarify the dynamic interactive relationships among environmental regulation, pollution emissions and HQED from an endogenous perspective. On this basis, the ...
Statistical inference in vector autoregression with possibly integrated processes Journal of Econometrics (1995) D.A. Dickey et al. Distribution of the estimators for autoregressive time series with a unit root Journal of the American Statistical Association (1979) M.P. Dooley et al. Exchange rates...
wherezis the state vector (with one state variable per brain region),tis time, andujis thej-th input to the system (i.e., some experimentally controlled manipulation). This state equation represents the strengths of direct inputs to the modeled system (sensory stimuli;Cmatrix), the strength...
(2018) investigated the interdependence of 18 major cryptocurrencies, such as Bitcoin, based on the volatility spillover framework of vector autoregression (VAR) with variance decomposition proposed by Diebold and Yilmaz (2009). The results indicated that Bitcoin was the main risk dominating the ...
In our research, we apply the time-varying parameter vector autoregression (TVP-VAR) extended joint connectedness approach, which offers several methodological advancements compared to the more commonly used generalized connectedness technique proposed by Diebold and Yilmaz (2012,2014). Through this approac...