Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
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Showing 1 to 18 of 18 for “"Vector Auto Regression"”.
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Utilizing Google Trends data for effective modeling of COVID-19 outcomes: a vector auto regression (VAR) approach
… forecast horizon, Granger Causality tests and Vector Auto Regression (VAR) models predict COVID-19 cases and deaths. GT's relative search volume of COVID-19 keywords and CDC's daily confirmed cases and cumulative deaths determine VAR model input search terms. RMSE (root mean square error), MAE …
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The Impact of Air Pollution on the Stock Market in South Korea
… Causality for checking the significances and the Vector Auto-Regression model and the Impulse Response Function for investigating its impact according to time. Furthermore, this paper uses the 2SLS method for resolving endogeneity problems and checking robustness. If the level of air pollution …
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An investigation of the relationship between trade openess and economic growth in Namibia
… The Johansen co-integration analysis and Vector Auto-regression Model (VAR) are used in estimating the long run relationship between trade openness and economic growth. There was co-integration of variables for trade openness and economic growth. The results found a positive long run …
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The effects of political shocks on international trade: evidence from China and major partners, 1998-2018
… major trading partners between 1998-2018 using vector-auto-regression (VAR) models. The analysis is complemented by an examination of the effects of political shocks on trade disaggregated by product-type. The results suggest that although trade ties are not independent of conflict, they have …
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The effects of political shocks on international trade: evidence from China and major partners, 1998-2018
… major trading partners between 1998-2018 using vector-auto-regression (VAR) models. The analysis is complemented by an examination of the effects of political shocks on trade disaggregated by product-type. The results suggest that although trade ties are not independent of conflict, they have …
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Empirical evidence of aggregate credit supply by South African banks since the introduction of international risk based capital regulation
… portfolios over the full observation period. A vector auto regression (VAR) model is used to test the dependency of bank lending on both bank specific and macroeconomic variables and to quantify their individual effects at the aggregate industry level.
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An investigation of the relationship between private consumption expenditure and lending rate in Namibia
… the period from 1980 to 2011. The Unrestricted Vector Auto – regression Model (VECM) procedure was adopted. Two proxies for real wealth and real disposable income are used in the study. The results show that real private consumption expenditure in Namibia adjusts fast to changes in nominal …
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Understanding the formation of American mental health policy preferences, 1952-1981
… Chow breakpoint analysis, Markov switch models, vector auto-regression (VAR), and autoregressive distributed lag (ARDL) models. It was found that both the outpatient-centered, drug-based model of mental health and community mental health centers viewed for popularity with the public, Congress, …
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An econometric assessment of external debt sustainability indicators in Zambia
… simple Ordinary Least Squares (OLS) as well as a Vector Auto Regression (VAR) to capture dynamic relationships. The results revealed that exports and interest rates were positively related to sustainability. Revenues, GDP growth and Exchange rate were inversely related to debt sustainability. The …
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Analysis of the effect of oil subsidy withdrawal on the economic growth of Nigeria
… in the economy. Therefore, this thesis employs Vector Auto regression Model using Variance Decomposition, Impulse Response Function and Granger Causality tests to assess the effect of price deregulation through gradual subsidy withdrawal in the downstream oil sector of Nigeria on four …
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Investigating the relationship between the bank rate, unemployment and inflation: The Phillips curve in Namibia
… bank rate from 1961 to 2012 and employing the Vector Auto Regression (VAR) model to estimate the data. The ADF and PP unit root tests are used to test for stationarity in the data and both these tests find all variables to be stationary at first difference. To test whether a long-run …
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Economic variables and their relationship to the returns of listed and unlisted commercial properties in South Africa
… research in this work is conducted using regression and vector auto regression (VAR) methodologies consistent with prior studies. Regression analysis considers the statistical dependence of the dependent variable on one or more explanatory variables. VAR analysis permits inferences to be …
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Contributions to Efficient Statistical Modeling of Complex Data with Temporal Structures
… focus on three research projects: Neighborhood vector auto regression in multivariate time series, uncertainty quantification for agent-based modeling networked anagrams, and a scalable algorithm for multi-class classification. The first project studies the modeling of multivariate time series, …
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An analysis of Sovereign Wealth Funds and international real estate investments
… estate and stocks as the two asset classes. The vector auto-regression (VAR) model presents an extended time series analysis that tests correlations, Granger causality and impulse responses between different home asset and foreign destination pairs. The thesis further illustrates through a simple …
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The Mediating Role of Social Connectedness in the Association Between Volunteering and Affect in Daily Life: A Dynamic Approach
… effects (Study 2). Results from log transformed regression models used for Study 1 showed baseline (i.e., intraindividual means) levels of the affective states of calm ( b = 1.58, p < .01), satisfaction ( b = 0.63, p < .05), and jittery ( b = 0.49, p < .05) were significantly related to time …
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Shadow banking, financial stability and economic performance: implications for regulation in emerging economies
… risk across national borders within a Global Vector Auto-regressive (GVAR) framework. The findings show increased financial fragility as a result of a negative shock in shadow banking at the global level in the majority of economies under study. Furthermore, the study identifies financial …
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The Chinese Housing Boom and Monetary Policy
… time series data at a national level with a vector autoregression model and a chow test. Chapter 6 investigates the house price determinants with city-level panel data. Both empirics support the hypotheses made in the theoretical framework. Chapter 7 provides an extensive discussion of the …