Abstract: VAR (Vector Auto-regressive) model is a kind of commonly used econometric-model. It is used to estimate the dynamic relationship of the endogenous variables without any prior constraints.
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 ...
Abstract: Given an observed data set, there are different methods that can be used to impute missing data. While excellent work has been done in this field, most available approaches are focused on ...
The regression model with autocorrelated disturbances is as follows: In these equations, y t are the dependent values, x t is a column vector of regressor variables, is a column vector of structural ...
This paper employs a threshold vector autoregressive (TVAR) model to analyze a possible asymmetric behavior of exchange rate pass-through (ERPT) or pricing-to-market (PTM) in Japanese exports between ...
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