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 20 of 86 for “"vector autoregression"”.
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Nonlinear network vector autoregression
As we all know, the time series model is one of the most important aspects of modern econometric analysis. The autoregressive model is the theoretical basis of time series. The classic autoregressive model has two features that can be improved, linear, and one-dimensional. Economic theory shows …
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Three essays on long memory tests for persistence in volatility and structural vector autoregression modeling of real exchange rates
… second chapter re-examines what structural vector autoregressive modeling of real exchange rates with differenced variables tells us about interesting macroeconomic questions. Using quarterly data from G-7 countries in the post Bretton-Woods period, the evidence suggests that shock …
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Time series analysis of macroeconometric constructs
… model representation is found for a bivariate vector autoregression for log U.S. GNP and unemployment rates. It is found that there is considerable uncertainty about both the persistence of the permanent component and the implied univariate persistence for even lightly parameterized vector …
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Estimating elasticities of demand and supply for South African manufactured exports using a vector error correction model
… exports are estimated using the co-integrating vector autoregression / vector error correction model approach in order toaddress simultaneity and non-stationarity issues. Demand is highly price-elastic, ranging from-3 to -6. The price elasticity of supply is 1. Competitors' prices and world …
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The role of financial sector development in economic growth : case study of Botswana
… econometric techniques such as the cointegration vector autoregression approach.
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On Explosive Time Series
… framework using a bivariate coexplosive vector autoregression as in Nielsen (2010). Firstly, we apply a co-explosive vector autoregression to model whether the WTI crude oil price run-up of 2007-2008 can be attributed to the existence of a bubble as well as whether the WTI crude oil …
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Examining The Sustainability Of The Current Account Balance Using A Probability Approach
… models, including autoregressive model, vector autoregression, vector error correction model, bayesian vector autoregression and bayesian time-varying coefficient, applied to a diverse set of countries and data from 1980 to 2023. It examines the macroeconomic and global determinants of …
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Essays in Applied Monetary and Financial Economics
… methodology, in particular, the factor-augmented vector autoregression, is very flexible. It can be used to analyze dynamic systems, allowing researchers to analyze micro-markets and extract conclusions about their agents. This thesis presents (i) a quantitative assessment of the heterogeneous …
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Robust Inference in Multiple Nonstationary Time Series
… the existence of a number of cointegrating vectors band no breaks in the constant term of the vector autoregression. Under the alternative, there are additional cointegrating vectors that are potentially obscured by multiple breaks in the deterministic terms. The test is based on the …
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Essays on Bayesian Macroeconometrics
… as those from ICS innovations in a structural vector autoregression. The second chapter, co-authored with Minchul Shin, proposes the multivariate stochastic volatility in vector autoregression model as a framework for studying the real effects of uncertainty shocks. We advance a new approach to …
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Three Essays on Leverage and the Macroeconomy
… leverage in the context of a structural vector autoregression model. I apply short-run and long-run restrictions based on economic theory to identify monetary policy and leverage shocks. I also use the sign restrictions approach to the identification of a leverage demand shock and examine …
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The Importance Of Housing Variables In Predicting Economic Fluctuations
… downturn. By using Granger-Causality test and vector autoregression (VAR) model, combination of factor analysis and VAR model, and hard thresholding method to identify the importance of each housing variable, the results show that housing price indexes are not important in forecasting the …
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US Financial Expansions and Exchange Rate Determination
… and the driving force of financial cycles. Using vector autoregression (VAR) analysis I test the relationships between the ratio of US shadow banking assets relative to commercial banking assets, portfolio investment liabilities, and the exchange rates for South Korea, Mexico, India and Brazil. I …
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Fiscal and Monetary Policies and Stock Market
… but also at the sectoral level in a structural vector autoregression (SVAR) framework. I adopt alternative variables as a policy instrument. When the spread is used as a policy instrument, I find that contractionary monetary policy has a significant negative effect on both output and the price …
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Quantile Connectedness and Tail Risks: Interactions between Agricultural and Energy Markets
… agricultural commodity markets using a quantile vector autoregression (QVAR) model. We investigate connectedness in the futures contract returns of ten commodities, including energy products (crude oil, heating oil, gasoline, natural gas) and agricultural products (corn, soybeans, wheat, live …
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Hver var gengisleki á Íslandi á árunum 2001 til 2008
… á neysluverð og til mælingarinnar er notað Vector Autoregression líkan með sex töfum. Samkvæmt niðurstöðum rannsóknarinnar er uppsafnaður gengisleki á verðbólgu næstu tólf mánuði eftir gengisbreytingu um 23% og endanlegur gengisleki þegar áhrifin eru að öllu komin fram um 28%. Gæði líkansins …
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Modelling and forecasting international tourism demand to China
… Second, it provides the first application of the Vector Autoregression (VAR) approach to modelling the demand for tourism. Third, this thesis compares relative forecasting performance of the two econometric techniques — the time-series approach and the VAR approach, in order to provide 'best …
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Essays on macroeconometrics and fiscal policy
… variables. I use a Bayesian factor-augmented vector autoregression (BFAVAR) model that allows me to employ information from over 200 macroeconomic variables. In addition, I use traditional and narrative sign restrictions for identification. This approach identifies a government spending shock …
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A New State Transition Model for Forecasting-Aided State Estimation for the Grid of the Future
… angles and magnitudes) is modeled by using autoregression, while the spatial correlation among the system states (i.e. voltage angles) is modeled using vector autoregression. Simulation results show significant improvement in power system state forecasting accuracy especially in presence of …
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Effects of monetary and macroprudential policies on credit and real economy in lithuania /
… and the broader economy. Employing a Structural Vector Autoregression (SVAR) model, we analyze data from 2004Q3 to 2023Q4, including real GDP, HICP (Harmonized Index of Consumer Prices), household and firm credit, the monetary policy rate, and macro-prudential policy variables. The study …
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