Luciano Gutierrez, Francesco Piras, Pier Paolo Roggero, A Global Vector Autoregression Model for the Analysis of Wheat Export Prices, American Journal of Agricultural Economics, Vol. 97, No. 5 ...

Vector autoregression with exogenous variables (VARX) has been used as a powerful model for portfolio returns. We provide a regularization method, based on network analysis, that reduces the ...

Since the vector autoregressive models are estimates from the Yule-Walker equations, not by maximum likelihood, the exact likelihood values are not available for computing the AIC. However, for the ...

Richard T. Baillie, Asymptotic Prediction Mean Squared Error for Vector Autoregressive Models, Biometrika, Vol. 66, No. 3 (Dec., 1979), pp. 675-678 ...

For more information on this research see: A Hybrid Model for Forecasting Realized Volatility Based on Heterogeneous Autoregressive Model and Support Vector Regression. Risks, 2024,12 (1).

If there are no exogenous components to the vector autoregression model, including no intercepts, then assign zero to each of the variables. There must be an assignment to each of the variables before ...

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 ...

Download PDF More Formats on IMF eLibrary Order a Print Copy Create Citation Assessing the current state of the economy and forecast the economic outlook in the next few quarters are important inputs ...