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 14 of 14 for “"Vector Autoregressions"”.
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Modeling Strategies for Large Dimensional Vector Autoregressions
The vector autoregressive (VAR) model has been widely used for describing the dynamic behavior of multivariate time series. However, fitting standard VAR models to large dimensional time series is challenging primarily due to the large number of parameters involved. In this thesis, we propose two …
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Subset vector autoregressions for listed property and oil markets using bootstrap model selection
Subset Vector Autoregressive (SVAR) models are fitted to the International Listed Property Trust (LPT) market and the global oil market. A General-to-Specific (GetS) model selection algorithm and a Bootstrap model based resampling method are employed to determine the best fitting models from a set …
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Subset vector autoregressions for listed property and oil markets using bootstrap model selection
Subset Vector Autoregressive (SVAR) models are fitted to the International Listed Property Trust (LPT) market and the global oil market. A General-to-Specific (GetS) model selection algorithm and a Bootstrap model based resampling method are employed to determine the best fitting models from a set …
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Fiscal policy and the current account evidence from South Africa
… in post-apartheid South Africa using Bayesian-Vector Autoregressions (BVARs). Consistent with the predictions of the twin deficit hypothesis, the analysis reports a strong positive relationship between the government budget balance and the current account.
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Three essays in macroeconomic forecasting using Bayesian model selection
… of improving the forecasting performance of vector autoregressions (VARs) when the set of available predictors is inconveniently large to handle with methods and diagnostics used in traditional small-scale models. First, I summarize available information from a large dataset into a …
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Bayesian and nonBayesian Techniques for Forecasting Monthly Cattle Prices
… are estimated using Box-Jenkins techniques. Vector autoregressions (VARs), classical and Bayesian, comprise the multivariate time series models. The specification of VARs is based on the Scharwz Bayesian information (SBIC), Akaike's information (AIC) and final prediction error (FPE) criteria.
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Ciclos internacionais de negócios : uma análise de mudança de regime markoviano para Brasil, Argentina e Estados Unidos
… é a dos modelos MS-VAR – Markov switching vector autoregressions. Especificações univariadas são estimadas para o período de 1900 a 2000 e os resultados comparados aos fatos estilizados de cada país. Posteriormente um modelo multivariado é formulado para abrigar a hipótese de um ciclo …
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Econometric modelling in a changing, globalised world
… the literature on multi-country Bayesian Panel Vector Autoregressions as its starting point. In three self-contained but related essays, we refine and apply the econometric methods and modelling assumptions necessary to objectively consider different aspects of globalisation. The first essay …
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Essays on International Macroeconomics and Trade
… to a monetary shock are compared with empirical vector autoregressions, showing a good match. These responses can largely be explained by heterogeneity in the frequency of price adjustment, while the variable markup channel is quantitatively less important. Chapter 2, co-written with Renzo …
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Institutions and uncertainty: An empirical investigation
… econometric literature—in particular, structural vector autoregressions— and tools from the natural language processing literature. Two of the papers in this thesis focus on New Zealand’s wide-ranging institutional reforms, which took place from the mid-1980s to the mid-1990. Drawing on the …
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The effectiveness of monetary policy in a regime-switching environment
… approaches, ranging from narrative to vector autoregressions, have been proposed to assess the validity of the money matters proposition in the economy. It is argued here that most empirical work on the effectiveness of monetary policy in explaining the business cycle is based on an …
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ESSAYS ON THE MACROECONOMIC IMPACTS OF ENERGY AND COMMODITY MARKETS
… oil market. I use a set of factor augmented vector autoregressions to identify and compare the impact of unanticipated changes in U.S. energy efficiency and U.S. oil supply over the period 1980Q1–2019Q4. The identification strategy relies on the fact that positive shocks in both cases …
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Exchange rate regime and exchange rate performance: evidence from East Asia
… (GARCH), Exponential GARCH (EGARCH), Vector Autoregressions (VAR) and their Impulse Response Functions (IRF), Unit Root Tests, Cointegration, and Granger Causality Tests. All kinds of data sets and sample periods employed in this research provide an interesting comparison to the …
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Examination of the effects of macroeconomic shocks on the Namibian economy
This Dissertation is structured on three stand-alone objectives which investigated the effects of macroeconomic shocks on the Namibian economy between 1980 and 2018. Firstly, the study estimated the dynamic effects of fiscal policy shocks through the SVAR approach. IRFs results reveal that a …