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 ...

Both sides of the institutions and growth debate have resorted largely to microeconometric techniques in testing hypotheses. In this paper, I build a panel structural vector autoregression (SVAR) ...

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 ...

This paper investigates spillovers between electricity supply shocks and US growth, using monthly data from forty-eight US states from January 2001 to September 2016, and employs a novel strategy for ...

The estimates of the autocorrelations are shown for 5 lags. The backward elimination of autoregressive terms report shows that the autoregressive parameters at lags 3, 4, and 5 were insignificant and ...

This Selected Issues paper analyzes the main determinants of inflation in Mongolia using empirical tests based on a structural model approach and vector autoregression model, with a view to assessing ...