Vector AutoregressionArticleBefore 1980, the method of choice in measuring the response of the macroeconomy to an economic shock was the dynamic multiplier. Since 1980, the instrument has increasingly become that of the standard VAR package: causality tests, impulse response functions, and variance ...
R Neelamegham,PK Chintagunta - 《Quantitative Marketing & Economics》 被引量: 125发表: 2004年 Combining time series and cross sectional data for the analysis of dynamic marketing systems Vector AutoRegressive (VAR) models have become popular in analyzing the behavior of competitive marketing systems...
The relationship between several quantities as they change over time is captured by the statistical model known as vector autoregression (VAR). Human activities can significantly change greenhouse gas emissions, which is not always permanent. Therefore, the VAR methods would be suitable to capture the...
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 ...
a vector autoregression (VAR). In equations, the dynamic factor model is, X t =λ(L)f t + e t (1) f t =Ψ(L)f t–1 +η t (2) where there are N series, so X t and e t are N×1, there are q dynamic factors so f ...
Ye, A., Gates, K.M., Henry, T.R.et al.Path and Directionality Discovery in Individual Dynamic Models: A Regularized Unified Structural Equation Modeling Approach for Hybrid Vector Autoregression.Psychometrika86, 404–441 (2021). https://doi.org/10.1007/s11336-021-09753-6 ...
This paper aims to provide a comprehensive overview of the estimation methodology for the time-varying parameter structural vector autoregression (TVP-VAR)... J Nakajima - 《Jouchi Nakajima》 被引量: 292发表: 2011年 Dynamic modeling, design and simulation of a combined PEM fuel cell and ultra-...
This study investigates changes in the contemporary Japanese economics and the effects of macroeconomic policies in the 1990s. We estimate several vector autoregression (VAR) models employing data detrended by different methods. This paper presents three major findings: First, there is a gradual decline...
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 ...
In this study, we combine a time-varying parameter vector autoregression (TVP-VAR) with an expanded joint connectedness approach, following the methodology described by Balcilar et al. (2021). Using this approach, we examine the time-varying connectedness between the exchange rates and oil prices...