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 ...
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: One of the multivariate time series models that can be used to estimate process is Vector Autoregressive. However, a problem during the optimal estimating process using the VAR model can ...
Impulse response functions from time series models are standard tools for analyzing the relationship between economic variables. The asymptotic distribution of orthogonalized impulse responses is ...
Thomas J Catalano is a CFP and Registered Investment Adviser with the state of South Carolina, where he launched his own financial advisory firm in 2018. Thomas' experience gives him expertise in a ...
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 ...
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