American Journal of Agricultural Economics, Vol. 97, No. 5 (October 2015), pp. 1494-1511 (18 pages) Food commodity price fluctuations have an important impact on poverty and food insecurity across the ...
The vector autoregressive model has long been used for portfolio analysis, while a recent extension (VARX) incorporates exogenous factors. Despite its increased forecasting precision, the ...
This study examines how trade shocks that start in one large economy ripple through other countries and how long those effects stick around. Using quarterly bilateral-trade data for 2012-2023, the ...
After computing the sample autocovariance matrices, PROC STATESPACE fits a sequence of vector autoregressive models. These preliminary autoregressive models are used to estimate the autoregressive ...
Abstract: This study revolves around a group of variables which are coming under a single system. The multivariate systems are a group of individual components which works independently but makes the ...
ABSTRACT: To improve the efficiency of air quality analysis and the accuracy of predictions, this paper proposes a composite method based on Vector Autoregressive (VAR) and Random Forest (RF) models.
A model with first-order autoregressive errors, AR(1), has the form while an AR(2) error process has the form and so forth for higher-order processes. Note that the ...
Multivariate count time series arise in a wide range of applications, including the number of COVID-19 cases recorded each week in different counties of the Republic of Ireland. In this example, it is ...
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