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 ...
The author is editorial writer and columnist for The Economic Times. If you have to forecast, forecast often, noted a consummate policy whiz some decades ago, at a time when there was marked ...
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 ...
Our eLibrary offers over 25,000 IMF publications in multiple formats. Exchange rate pass-through in a set of euro area prices along the pricing chain is examined. Using a vector autoregression (VAR) ...
Some results have been hidden because they may be inaccessible to you
Show inaccessible results