The Recursive Fitting of Subset VARX Models - Financial and Economic Forecasting (Chapter 8)

A vector autoregressive model with exogenous variables (VARX model) involves a regressand vector y(t) and a regressor vector x(t). This chapter provides a method for the recursive fitting of subset VARX models. It suggests the use of ascending recursions in conjunction with an order selection criterion to choose an 'optimum' subset VARX model

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Year of publication:	2003
Authors:	Penm, Jack H.W ; Penm, Jammie H. ; Terrell, R. Deane
Publisher:	[S.l.] : SSRN
Subject:	Theorie \| Theory \| Prognoseverfahren \| Forecasting model \| Finanzmarkt \| Financial market \| Wirtschaftsprognose \| Economic forecast
Description of contents:	Abstract [papers.ssrn.com]

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Extent:	1 Online-Ressource
Type of publication:	Book / Working Paper
Language:	English
Notes:	Volltext nicht verfügbar
Source:	ECONIS - Online Catalogue of the ZBW

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