Search Results - subject:"vector autoregression models"

Building with bricks and mortar : the revenue impact of opening physical stores in a multichannel environment

Pauwels, Koen; Neslin, Scott A. - In: Journal of retailing 91 (2015) 2, pp. 182-197

Persistent link: https://www.econbiz.de/10011308952

A robust test for threshold-type nonlinearity in multivariate time series analysis

Chan, Wai-Sum; Cheung, Siu-hung; Chow, Wai Kit; Zhang, … - In: Journal of forecasting 34 (2015) 6, pp. 441-454

Persistent link: https://www.econbiz.de/10011342703

A Critical Note on the Forecast Error Variance Decomposition

Seymen, Atilim - 2008

The paper questions the reasonability of using forecast error variance decompositions for assessing the role of different structural shocks in business cycle fluctuations. It is shown that the forecast error variance decomposition is related to a dubious definition of the business cycle. A...

Persistent link: https://www.econbiz.de/10010298076

A Critical Note on the Forecast Error Variance Decomposition

Seymen, Atilim - Zentrum für Europäische Wirtschaftsforschung (ZEW) - 2008

Persistent link: https://www.econbiz.de/10005097587

Ripple effects of house prices: considering spatial correlations in geography and demography

Ma, Le; Liu, Chunlu - In: International Journal of Housing Markets and Analysis 6 (2013) 3, pp. 284-299

autoregression models. However, the effects generated from spatial information could not be captured by conventional vector … autoregression models. This research aimed to incorporate spatial lags into a vector autoregression model to illustrate spatial … across cities over space and time. These interconnections were widely investigated in previous research using vector …

Persistent link: https://www.econbiz.de/10014778007

HOME AND HOST COUNTRY BUSINESS CYCLES AND REMITTANCES: THE CASE OF EL SALVADOR AND THE DOMINICAN REPUBLIC

BORJA, Karla - In: Applied Econometrics and International Development 13 (2013) 2, pp. 101-118

Remittances have become an effective source of balance of payment sustainability in several small countries in Latin America, and thus a particular concern among developmental economists is the source driving remittances into this region. This paper studies the properties and cyclical nature of...

Persistent link: https://www.econbiz.de/10010693490

Home and host country business cycles and remittances : the case of El Salvador and the Dominican Republic

Borja, Karla - In: Applied econometrics and international development 13 (2013) 2, pp. 101-118

Persistent link: https://www.econbiz.de/10010385431

Modeling Factor Demands with SEM and VAR: An Empirical Comparison

Manera, Matteo - 2005

The empirical analysis of the economic interactions between factors of production, output and corresponding prices has received much attention over the last two decades. Most contributions in this area have agreed on the neoclassical principle of a representative optimizing firm and typically...

Persistent link: https://www.econbiz.de/10010312470

Dynamic Economic Relationships Among U.S. Soy Product Markets: Using a Cointegrated Vector Autoregression Approach with Directed Acyclic Graphs

Babula, Ronald A.; Bessler, David A.; Rogowsky, Robert A. - 2005

This paper applies a combined methodology of a recently developed directed acyclic graph (DAG) analysis with Johansen and Juselius' methods of the cointegrated vector autoregression (VAR) model to a monthly U.S. system of markets for soybeans, soy meal, and soy oil. Primarily a methods paper,...

Persistent link: https://www.econbiz.de/10009446839

Modeling Factor Demands with SEM and VAR: An Empirical Comparison

Manera, Matteo - Fondazione ENI Enrico Mattei (FEEM) - 2005

Persistent link: https://www.econbiz.de/10005385453