4519 documents matched the search for Autoregression in titles and keywords.
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Structural approaches to vector autoregressions,
John Keating,
in Review
(1992)
Keywords: Vector autoregression
On the identification of structural vector autoregressions,
Pierre Daniel Sarte,
in Economic Quarterly
(1997)
Keywords: Vector autoregression
RATS program to demonstrate calculation of an arranged autoregression,
Tom Doan,
from Boston College Department of Economics
Keywords: Threshold autoregression, arranged autoregression
Bayesian Vector Autoregressions with Stochastic Volatility,
Harald Uhlig,
from Tilburg University, Center for Economic Research
(1996)
Keywords: Vector Autoregressions
Vector autoregressions: forecasting and reality,
John Robertson and Ellis Tallman,
in Economic Review
(1999)
Keywords: Forecasting; Vector autoregression
Vector autoregressions and reality,
David E. Runkle,
from Federal Reserve Bank of Minneapolis
(1987)
Keywords: Econometric models; Vector autoregression
Two Decades of Vector Autoregression (VAR) Modeling,
Renato Reside,
in Philippine Review of Economics
(2001)
Keywords: vector autoregressions
Structural vector autoregressions: theory of identification and algorithms for inference,
Juan F Rubio-Ramirez, Daniel Waggoner and Tao Zha,
from Federal Reserve Bank of Atlanta
(2008)
Keywords: Vector autoregression
Random-Coefficient periodic autoregression,
Philip Hans Franses and Richard Paap,
from Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute
(2005)
Keywords: periodic autoregression, random coefficient model
Sparse spatial autoregressions,
Kelley Pace and Ronald Barry,
in Statistics & Probability Letters
(1997)
Keywords: Spatial autoregression SAR Sparse matrices
Modeling Expectations with Noncausal Autoregressions,
Markku Lanne and Pentti Saikkonen,
from University Library of Munich, Germany
(2008)
Keywords: Noncausal autoregression; expectations; inflation persistence
Seasonal smooth transition autoregression,
Philip Hans Franses, Paul de Bruin and Dick van Dijk,
from Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute
(2000)
Keywords: forecasting, nonlinearity, seasonality, smooth transition autoregression
Heteroskedastic Proxy Vector Autoregressions,
Helmut Lütkepohl and Thore Schlaak,
from Verein für Socialpolitik / German Economic Association
(2021)
Keywords: Structural vector autoregression, proxy VAR, identification throughheteroskedasticity
Threshold Autoregressions with a Unit Root,
Bruce Hansen and Mehmet Caner,
from Boston College Department of Economics
(1997)
Keywords: threshold autoregression, unit root, empirical process methods
Forecasting Korean Macroeconomic Variables with Autoregressions and Vector Autoregressions (in Korean),
Jinhee Lee and Dukpa Kim,
in Economic Analysis (Quarterly)
(2014)
Keywords: Out-of-sample Forecast, Autoregression, Vector Autoregression, Forecast Combination, Structural Break
Vector Autoregression and Error Correction Models,
V. Bannikov,
in Applied Econometrics
(2006)
Keywords: vector autoregression; error correction; EViews
Vector autoregression with varied frequency data,
Hang Qian,
from University Library of Munich, Germany
(2010)
Keywords: Vector Autoregression; Bayesian; Temporal aggregation
An introduction to time-varying lag autoregression,
Philip Hans Franses,
from Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute
(2020)
Keywords: Autoregression, Time-varying lags, Forecasting
Monitoring time-varying parameters in an autoregression,
Frédéric Carsoule and Philip Hans Franses,
from Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute
(1999)
Keywords: autoregression, misspecification test, structural change
Noncausal autoregressions for economic time series,
Markku Lanne and Pentti Saikkonen,
from University Library of Munich, Germany
(2010)
Keywords: Noncausal autoregression; expectations; inflation persistence
Indirect Inference Estimation of Spatial Autoregressions,
Yong Bao, Xiaotian Liu and Lihong Yang,
in Econometrics
(2020)
Keywords: spatial autoregression; OLS; indirect inference
Identification, vector autoregression, and block recursion,
Tao Zha,
from Federal Reserve Bank of Atlanta
(1996)
Keywords: time series analysis; Vector autoregression
Evaluating the accuracy of forecasts from vector autoregressions,
Todd Clark and Michael McCracken,
from Federal Reserve Bank of St. Louis
(2013)
Keywords: Economic forecasting; Vector autoregression
Noncausal Vector Autoregression,
Markku Lanne and Pentti Saikkonen,
from University Library of Munich, Germany
(2010)
Keywords: Vector autoregression; noncausal time series; non-Gaussian time series
Bayesian Vector Autoregressions,
Silvia Miranda-Agrippino and Giovanni Ricco,
from University of Warwick, Department of Economics
(2018)
Keywords: Bayesian inference ; Vector Autoregression Models ; BVAR ; SVAR ; forecasting
Bayesian vector autoregressions,
Silvia Miranda-Agrippino and Giovanni Ricco,
from London School of Economics and Political Science, LSE Library
(2018)
Keywords: Bayesian inference; Vector Autoregression Models; BVAR; SVAR; forecasting
Bayesian vector autoregressions,
Silvia Miranda Agrippino and Giovanni Ricco,
from HAL
(2018)
Keywords: Bayesian inference,Vector Autoregression Models,BVAR,SVAR,forecasting
Bayesian vector autoregressions,
Silvia Miranda Agrippino and Giovanni Ricco,
from HAL
(2018)
Keywords: Bayesian inference,Vector Autoregression Models,BVAR,SVAR,forecasting
Functional quantile autoregression,
Chaohua Dong, Rong Chen, Zhijie Xiao and Weiyi Liu,
in Journal of Econometrics
(2024)
Keywords: Distributional dynamics; Functional dependence; GARCH; Quantile autoregression; Sieve estimation;
Bayesian Vector Autoregressions,
Silvia Miranda-Agrippino and Giovanni Ricco,
from Centre for Macroeconomics (CFM)
(2018)
Keywords: Bayesian inference, Vector Autoregression models, BVAR, SVAR, forecasting
Heteroskedastic Proxy Vector Autoregressions,
Helmut Lütkepohl and Thore Schlaak,
from DIW Berlin, German Institute for Economic Research
(2020)
Keywords: Structural vector autoregression, proxy VAR, identification through heteroskedasticity
Vector Autoregression and Causality,
Hiro Y. Toda and Peter Phillips,
from Cowles Foundation for Research in Economics, Yale University
(1991)
Keywords: Error correction model, exogeneity, Granger causality, vector autoregression
Spatial autoregression model: strong consistency,
B. B. Bhattacharyya, J. -J. Ren, G. D. Richardson and J. Zhang,
in Statistics & Probability Letters
(2003)
Keywords: Spatial autoregression Unit roots Two-parameter martingale
Dynamic Spatial Network Quantile Autoregression,
Xiu Xu, Weining Wang and Yongcheol Shin,
from Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series"
(2020)
Keywords: Network, Quantile autoregression, Instrumental variables, Dynamic models
A convenient representation for structural vector autoregressions,
Jörg Breitung,
in Empirical Economics
(2001)
Keywords: Vector Autoregression · Structural models · Latent variables
Network vector autoregression with individual effects,
Yiming Tang, Yang Bai and Tao Huang,
in Metrika: International Journal for Theoretical and Applied Statistics
(2021)
Keywords: Network vector autoregression, Individual effects, Cohesion penalty
Forecasting with Bayesian Global Vector Autoregressions,
Florian Huber, Jesus Crespo-Cuaresma and Martin Feldkircher,
from European Regional Science Association
(2014)
Keywords: Global vector autoregressions; forecasting; prior sensitivity analysis;
Copula-Based Nonlinear Quantile Autoregression,
Xiaohong Chen, Roger Koenker and Zhijie Xiao,
from Cowles Foundation for Research in Economics, Yale University
(2008)
Keywords: Quantile autoregression, Copula, Ergodic nonlinear Markov models
Copula-Based Nonlinear Quantile Autoregression,
Xiaohong Chen, Roger Koenker and Zhijie Xiao,
from Boston College Department of Economics
(2008)
Keywords: Quantile autoregression, Copula, Ergodic nonlinear Markov models
Estimation in autoregressive models based on autoregression rank scores,
Faouzi El Bantli and Marc Hallin,
from ULB -- Universite Libre de Bruxelles
(2001)
Keywords: Autoregression quantiles; Autoregression rank scores; R-estimators; Uniform asymptotic linearity
A note on monitoring time-varying parameters in an autoregression,
Frédéric Carsoule and Philip Hans Franses,
in Metrika: International Journal for Theoretical and Applied Statistics
(2003)
Keywords: Structural change, autoregression, misspecification test,
A large Bayesian vector autoregression model for Russia,
Elena Deryugina and Alexey Ponomarenko,
from Bank of Finland Institute for Emerging Economies (BOFIT)
(2014)
Keywords: Bayesian vector autoregression, forecasting, Russia
A large Bayesian vector autoregression model for Russia,
Elena Deryugina and Alexey Ponomarenko,
from Bank of Russia
(2015)
Keywords: Bayesian vector autoregression, forecasting, Russia
Modeling mortality with a Bayesian vector autoregression,
Carolyn Ndigwako Njenga and Michael Sherris,
in Insurance: Mathematics and Economics
(2020)
Keywords: Mortality; Parameter risk; Vector auto-regression; Bayesian vector auto-regression; Heligman–Pollard model;
Autoregression-Based Estimators for ARFIMA Models,
John Galbraith and Victoria Zinde-Walsh,
from CIRANO
(2001)
Keywords: ARFIMA model, autoregression, fractional integration, long memory, Modèle ARFIMA, autorégression, intégration fractionnelle, mémoire longue
Deficit Financed Public Expenditure in Argentina: A Structural Vector Autoregression Analysis,
Yuliyan Mitkov and Osvaldo Pericon,
from University Library of Munich, Germany
(2012)
Keywords: Fiscal Policy; Vector Autoregression
Estimating inflation persistence by quantile autoregression with quantile-specific unit roots,
Wagner Gaglianone, Osmani Teixeira de Carvalho Guillén and Francisco Rodrigues Figueiredo,
in Economic Modelling
(2018)
Keywords: Inflation; Persistence; Quantile autoregression;
Estimating spatial autoregressions under heteroskedasticity without searching for instruments,
Yong Bao,
in Regional Science and Urban Economics
(2024)
Keywords: Spatial autoregressions; Heteroskedasticity; Endogeneity;
Computational Issues in the Estimation of Higher-Order Panel Vector Autoregressions,
Michael Binder, Cheng Hsiao, Jan Mutl and Mohammad Pesaran,
from Society for Computational Economics
(2002)
Keywords: Panel Data, Vector Autoregressions
What Caused the Early Millennium Slowdown? Evidence Based on Vector Autoregressions,
Gert Peersman,
from C.E.P.R. Discussion Papers
(2003)
Keywords: Business cycles; Vector autoregressions
What caused the early millennium slowdown? Evidence based on vector autoregressions,
Gert Peersman,
from Ghent University, Faculty of Economics and Business Administration
(2004)
Keywords: business cycles, vector autoregressions
The effect of Bayesian priors on the moving-average representation of vector autoregressions,
James E. Kennedy,
from Board of Governors of the Federal Reserve System (U.S.)
(1989)
Keywords: Vector autoregression; Forecasting
Exact confidence intervals for impulse responses in a Gaussian vector autoregression,
Jonathan Wright,
from Board of Governors of the Federal Reserve System (U.S.)
(2000)
Keywords: Vector autoregression; Macroeconomics
Vector autoregression evidence on monetarism: another look at the robustness debate,
Richard M. Todd,
in Quarterly Review
(1990)
Keywords: Vector autoregression; Monetary theory
Spatial Vector Autoregressions,
Michael Beenstock and Daniel Felsenstein,
in Spatial Economic Analysis
(2007)
Keywords: Spatial econometrics, spatial autocorrelation, vector autoregressions, spatial panel data, C21, C22, C23, C53,
Network quantile autoregression,
Xuening Zhu, Weining Wang, Hangsheng Wang and Wolfgang Härdle,
from Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
(2016)
Keywords: Social Network, Quantile Regression, Autoregression, Systemic Risk, Financial Contagion, Shared Ownership
Network quantile autoregression,
Xuening Zhu, Weining Wang, Hansheng Wang and Wolfgang Karl Härdle,
in Journal of Econometrics
(2019)
Keywords: Social network; Quantile regression; Autoregression; Systemic risk; Financial contagion; Shared ownership;
Bayesian joint quantile autoregression,
Jorge Castillo-Mateo, Alan E. Gelfand, Jesús Asín, Ana C. Cebrián and Jesús Abaurrea,
in TEST: An Official Journal of the Spanish Society of Statistics and Operations Research
(2024)
Keywords: Copula model, Gaussian process, Joint quantile model, Markov chain Monte Carlo, Spatial quantile autoregression
Some correlation properties of spatial autoregressions,
Federico Martellosio,
from University Library of Munich, Germany
(2008)
Keywords: simultaneous autoregressions; spatial autocorrelation; spatial weights matrices; walks in graphs
Measurement Error in a First-order Autoregression,
Philip Hans Franses,
in Advances in Decision Sciences
(2020)
Keywords: Errors-in-variables, OLS, First-order autoregression, Total Least Squares
Modeling Mortality with a Bayesian Vector Autoregression,
Carolyn Njenga and Michael Sherris,
from ARC Centre of Excellence in Population Ageing Research (CEPAR), Australian School of Business, University of New South Wales
(2011)
Keywords: Mortality, parameter risk, vector auto-regression, Bayesian, Heligman-Pollard model
Priors about observables in vector autoregressions,
Marek Jarociński and Albert Marcet,
in Journal of Econometrics
(2019)
Keywords: Bayesian estimation; Prior elicitation; Inverse problem; Structural vector autoregression;
Modified lag augmented vector autoregressions,
Eiji Kurozumi and Taku Yamamoto,
in Econometric Reviews
(2000)
Keywords: Vector autoregressions, Integration, Cointegration, Bias correction, Hypothesis testing,
Supplementary appendix to "noncausal vector autoregression",
Markku Lanne and Pentti Saikkonen,
from University Library of Munich, Germany
(2012)
Keywords: Vector autoregression; Noncausal time series; Non-Gaussian time series
Likelihood inference in an Autoregression with fixed effects,
Geert Dhaene and Koen Jochmans,
from HAL
(2013)
Keywords: adjusted likelihood,autoregression,incidental parameters,local maximizer,recentered estimating equation
Likelihood inference in an Autoregression with fixed effects,
Geert Dhaene and Koen Jochmans,
from HAL
(2013)
Keywords: adjusted likelihood,autoregression,incidental parameters,local maximizer,recentered estimating equation
Likelihood inference in an Autoregression with fixed effects,
Geert Dhaene and Koen Jochmans,
from HAL
(2013)
Keywords: adjusted likelihood,autoregression,incidental parameters,local maximizer,recentered estimating equation
Noncausal Autoregressions for Economic Time Series,
Markku Lanne and Pentti Saikkonen,
in Journal of Time Series Econometrics
(2011)
Keywords: noncausal autoregression, non-Gaussian time series, inflation persistence
Multiscale autoregression on adaptively detected timescales,
Rafal Baranowski, Yining Chen and Piotr Fryzlewicz,
from London School of Economics and Political Science, LSE Library
(2024)
Keywords: multiscale modelling; regularised autoregression; piecewise-constant approximation; time series
An Alternative Bootstrap for Proxy Vector Autoregressions,
Martin Bruns and Helmut Luetkepohl,
from School of Economics, University of East Anglia, Norwich, UK.
(2020)
Keywords: Bootstrap inference, structural vector autoregression, impulse responses, instrumental variable
An Alternative Bootstrap for Proxy Vector Autoregressions,
Martin Bruns and Helmut Lütkepohl,
in Computational Economics
(2023)
Keywords: Bootstrap inference, Structural vector autoregression, Impulse responses, Instrumental variable
An Alternative Bootstrap for Proxy Vector Autoregressions,
Martin Bruns and Helmut Lütkepohl,
from DIW Berlin, German Institute for Economic Research
(2020)
Keywords: Bootstrap inference, structural vector autoregression, impulse responses, instrumental variable
Uniform Limit Theory for Stationary Autoregression,
Liudas Giraitis and Peter Phillips,
from Cowles Foundation for Research in Economics, Yale University
(2004)
Keywords: Autoregression, Gaussian limit theory, local to unity, uniform limit
Asymptotic Expansions in Nonstationary Vector Autoregressions,
Peter Phillips,
from Cowles Foundation for Research in Economics, Yale University
(1985)
Keywords: Asymptotic expansions, vector autoregressions, characteristic functionals, generalized random processes
Vector Autoregression Analysis and the Great Moderation,
Luca Benati and Paolo Surico,
from Monetary Policy Committee Unit, Bank of England
(2007)
Keywords: Great inflation; passive policy; break tests; vector autoregressions
The Granger Non-Causality Test in Cointegrated Vector Autoregressions,
Hiroaki Chigira, 弘明 千木良, Taku Yamamoto and 拓 山本,
from Graduate School of Economics, Hitotsubashi University
(2003)
Keywords: Vector autoregression, Cointegration, Granger causality, Hypothesis testing
Efficient closed-form estimation of large spatial autoregressions,
Abhimanyu Gupta,
in Journal of Econometrics
(2023)
Keywords: Spatial autoregression; Efficiency; Many parameters; Networks;
Bayesian Vector Autoregression Forecasts of Chinese Steel Consumption,
Paul Crompton and Yanrui Wu,
in Journal of Chinese Economic and Business Studies
(2003)
Keywords: China, Steel Consumption, Bayesian Vector Autoregression,
Order selection for heteroscedastic autoregression: A study on concentration,
Gabriel Chandler,
in Statistics & Probability Letters
(2010)
Keywords: Autoregression Order selection Non-stationarity Concentration
Testing for randomness in a random coefficient autoregression model,
Lajos Horvath and Lorenzo Trapani,
in Journal of Econometrics
(2019)
Keywords: Random coefficient autoregression; WLS estimator; Randomised test;
Testing for randomness in a random coefficient autoregression model,
Lajos Horvath and Lorenzo Trapani,
from University of Nottingham, Granger Centre for Time Series Econometrics
(2018)
Keywords: Random Coefficient AutoRegression, WLS estimator, randomised test.
Capturing asymmetry in real exchange rate with quantile autoregression,
Mauro S. Ferreira,
from Cedeplar, Universidade Federal de Minas Gerais
(2007)
Keywords: exchange rate; quantile autoregression; unit root; asymmetry
Specifying and estimating vector autoregressions using their eigensystem representation,
Leo Krippner,
in Economics Letters
(2024)
Keywords: Vector autoregression (VAR); Companion matrix; Eigenvalues; Eigenvectors;
Applications of Vector Autoregressions in Their Scalar Autoregressive Component Form,
Leo Krippner,
from Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University
(2024)
Keywords: vector autoregression, VAR, companion matrix, eigenvalues, eigenvectors
Estimating and Applying Autoregression Models via Their Eigensystem Representation,
Leo Krippner,
from Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University
(2023)
Keywords: autoregression, lag polynomial, eigenvalues, eigenvectors, companion matrix
The Granger Non-Causality Test in Cointegrated Vector Autoregressions,
Hiroaki Chigira and Taku Yamamoto,
from Institute of Economic Research, Hitotsubashi University
(2003)
Keywords: Vector autoregression, Cointegration, Granger causality, Hypothesis testing
Estimating and Applying Autoregression Models Via Their Eigensystem Representation,
Leo Krippner,
from University of Waikato
(2023)
Keywords: autoregression;lag polynomial;eigenvalues;eigenvectors;companion matrix
Vector-autoregression forecast models for the Third District states,
Theodore M. Crone, Sherry Delaney and Leonard O. Mills,
from Federal Reserve Bank of Philadelphia
(1992)
Keywords: Federal Reserve District, 3rd; Forecasting; Vector autoregression
Wages and Hours: Estimating Vector Autoregressions with Panel Data,
Douglas Holtz-Eakin, Whitney Newey and Harvey Rosen,
from Princeton University, Department of Economics, Industrial Relations Section.
(1987)
Keywords: labor supply, vector autoregression, panel data
Estimators for alternating nonlinear autoregression,
Ursula U. Müller, Anton Schick and Wolfgang Wefelmeyer,
in Journal of Multivariate Analysis
(2009)
Keywords: 62G20 62M05 Convolution theorem Regular estimator Asymptotically linear estimator Newton-Raphson procedure Weighted least squares estimator Linear autoregression
Prior Selection for Vector Autoregressions,
Domenico Giannone, Michele Lenza and Giorgio Primiceri,
in The Review of Economics and Statistics
(2015)
Keywords: vector autoregressions, VARs, macroeconomic, parameterization, out-of-sample forecasts, unrestricted model, naıve benchmark, hierarchical modeling, impulse response functions
The Endogeneity of Oil Price Shocks and Their Effects on Indonesia: A Structural Vector Autoregression Model,
Alfan Mansur,
from University Library of Munich, Germany
(2015)
Keywords: Vector autoregression, Oil price, Shocks
Unit Root Vector Autoregression with volatility Induced Stationarity,
Anders Rahbek and Heino Bohn Nielsen,
from Department of Economics and Business Economics, Aarhus University
(2012)
Keywords: Vector Autoregression, Unit-Root, Reduced Rank, Volatility Induced Stationarity, Term Structure, Double Autoregression
Unit root vector autoregression with volatility induced stationarity,
Heino Bohn Nielsen and Anders Rahbek,
in Journal of Empirical Finance
(2014)
Keywords: Vector autoregression; Unit root; Reduced rank; Volatility induced stationarity; Term structure; Double autoregression;
Granger-Causal-Priority and Choice of Variables in Vector Autoregressions,
Bartosz Maćkowiak and Marek Jarociński,
from C.E.P.R. Discussion Papers
(2013)
Keywords: Bayesian model choice; Granger-causal-priority; Granger-noncausality; Structural vector autoregression; Vector autoregression
Granger-causal-priority and choice of variables in vector autoregressions,
Marek Jarociński and Bartosz Maćkowiak,
from European Central Bank
(2013)
Keywords: Bayesian model choice, granger-causal-priority, granger-noncausality, structural vector autoregression, vector autoregression
Unit root vector autoregression with volatility induced stationarity,
Anders Rahbek and Heino Bohn Nielsen,
from University of Copenhagen. Department of Economics
(2012)
Keywords: Vector Autoregression, Unit-Root, Reduced Rank, Volatility Induced Stationarity, Term Structure, Double Autoregression
Modeling Monetary Policy Transmission in Acceding Countries: Vector Autoregression Versus Structural Vector Autoregression,
Adam Elbourne and Jakob de Haan,
in Emerging Markets Finance and Trade
(2009)
Keywords: monetary transmission, transition countries, vector autoregression,
Generalized linear autoregressions,
Neil Shephard,
from Economics Group, Nuffield College, University of Oxford
(1995)
Keywords: ARCH, autoregression, binomial, categorical data, count data, diagnostic checking, exponential family, gamma, generalized linear models, martingale difference, moving average, overdispersion, poisson.
Loan market markups and noncausal autoregressions,
Viacheslav Kramkov and Andrey Maksimov,
in Applied Econometrics
(2020)
Keywords: interest rates pass through; rational expectations; noncausal autoregression; time series; identification in macroeconomics.
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