Search Results - subject:"Varma Models"

Turkiye’de Enflasyon ve Nispi Fiyat Degiskenligi Iliskisi: VABHO Modelleriyle Uzun Donem Analizi

Tunay, K. Batu - In: Istanbul University Econometrics and Statistics e-Journal 12 (2010) 1, pp. 40-64

autoregressive moving average (VARMA) models are used as analyzing methodology. Data base taken into consideration in models are …:1-2008:12. Findings obtained from VARMA models show that there is a strong positive relationship in the long-term between inflation and …

Persistent link: https://www.econbiz.de/10008788410

Türkiye’de Enflasyon ve Nispi Fiyat Değişkenliği İlişkisi: VABHO Modelleriyle Bir Uzun Dönem Analizi

Tunay, K. Batu - İktisat Bölümü, İktisadi ve İdari Bilimler Fakültesi - 2009

autoregressive moving average (VARMA) models are used as analyzing methodolgy. Data base taken into consideration in models are …:1-2008:12. Findings obtained from VARMA models show that there is a strong positive relationship in the long-term between inflation and …

Persistent link: https://www.econbiz.de/10008476238

Uzay-Zaman Ardışık Bağlanım Hareketli Ortalama (UZABHO) Modelleri ve Tahmin Süreci: Türkiye’de Bölgesel Banka Mevduatları Üzerine Bir Uygulama

Tunay, K. Batu - İktisat Bölümü, İktisadi ve İdari Bilimler Fakültesi - 2009

This paper aims to introduce space-time autoregressive moving average (STARMA) models and to explain estimation procedure of these models. Despite the contribution of modelling approach of Pfeifer and Deutsch (1980a, 1980b, 1981a, 1981b ve 1981c), this work is based upon theoretical explanations...

Persistent link: https://www.econbiz.de/10008476242

Testing non-correlation and non-causality between multivariate arma time series

Hallin, Marc; Saidi, Abdessamad - Solvay Brussels School of Economics and Management, … - 2005

Persistent link: https://www.econbiz.de/10011011439

Are VAR Models Good Enough?

Vahid, Farshid; Athanasopoulos, George - Econometric Society - 2004

VAR models are used in practice in preference to VARMA models due to the difficult issues involved in the … identification and estimation of VARMA models. This paper examines if VAR models are good enough for forecasting macroeconomic … variables. To answer this question, we extend the Tiao and Tsay identification procedure for VARMA models and proposes a …

Persistent link: https://www.econbiz.de/10005342142

Estimating the Kronecker indices of cointegrated echelon-form VARMA models

BARTEL, HOLGER; LUTKEPOHL, HELMUT - In: Econometrics Journal 1 (1998) ConferenceIssue, pp. 76-76

VARMA models can be parameterized by using the echelon form, which is characterized by the Kronecker indices. Three … different methods for estimating the Kronecker indices of echelon-form VARMA models are discussed and compared. The three …

Persistent link: https://www.econbiz.de/10005405427

Testing for Short Memory in a VARMA Process

Oke, Timothy; Öller, Lars-Erik - Konjunkturinstitutet, Government of Sweden - 1997

We generalize the short term memory test of an ARMA model, presented in Öller (1985), to the multivariate VARMA cases. In a study on Swedish exports and OECD demand we demonstrate how the multivariate setting extends the short memory.

Persistent link: https://www.econbiz.de/10005651546

EXPLORING THE SPANISH INTERBANK YIELD CURVE

Navarro, Leandro; Quilis, Enrique M. - Instituto de Estudios Fiscales, Ministerio de Economía …

. Financial indicators play an important role in short-term monitoring due to its sensitivity to general macroeconomic conditions, their forward-looking nature, and also because of the fast availability of its data of very high frequency. In order to assess this role, we perform an econometric...

Persistent link: https://www.econbiz.de/10005190395