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Modeling and forecasting by the vector autoregressive moving average model for export of coal and oil data (case study from Indonesia over the years 2002-2017)

Warsono; Russel, Edwin; Wamiliana; Widiarti; Mustofa Usman - In: International Journal of Energy Economics and Policy : IJEEP 9 (2019) 4, pp. 240-247

Persistent link: https://www.econbiz.de/10012386807

Forecasting global temperatures by exploiting cointegration with radiative forcing

Benati, Luca - 2023

I use Bayesian VARs to forecast global temperatures anomalies until the end of the XXI century by exploiting their … cointegration with the Joint Radiative Forcing (JRF) of the drivers of climate change. Under a ‘no change’ scenario, the most … favorable median forecast predicts the land temperature anomaly to reach 5.6 Celsius degrees in 2100. Forecasts conditional on …

Persistent link: https://www.econbiz.de/10014303938

Forecasting multivariate time series under present-value-model short- and long-run co-movement restrictions

Guillén, Osmani Teixeira de Carvalho; Hecq, Alain W. J.; … - 2013

Persistent link: https://www.econbiz.de/10011455896

Forecasting multivariate time series under present-value-model short- and long-run co-movement restrictions

Guillén, Osmani Teixeira de Carvalho; Hecq, Alain W. J.; … - 2014

Persistent link: https://www.econbiz.de/10011456434

Time series analysis of the US term structure of interest rates using a Bayesian Markov switching cointegration model

Sugita, Katsuhiro - In: International journal of economics and finance 9 (2017) 3, pp. 49-56

Persistent link: https://www.econbiz.de/10011642177

Time varying cointegration and the UK great ratios

Kapetanios, George; Millard, Stephen Patrick; Petrova, … - 2018

Persistent link: https://www.econbiz.de/10012203995

The recent effects of exchange rate on international trade

Choi, Myoung Shik - In: Prague economic papers : a bimonthly journal of … 26 (2017) 6, pp. 661-689

Persistent link: https://www.econbiz.de/10011780227

Cointegration, root functions and minimal bases

Franchi, Massimo; Paruolo, Paolo - In: Econometrics : open access journal 9 (2021) 3, pp. 1-27

This paper discusses the notion of cointegrating space for linear processes integrated of any order. It first shows that the notions of (polynomial) cointegrating vectors and of root functions coincide. Second, it discusses how the cointegrating space can be defined (i) as a vector space of...

Persistent link: https://www.econbiz.de/10012617251

One-period joint forecasts of Polish inflation, unemployment and interest rate using Bayesian VEC-MSF models

Wróblewska, Justyna; Pajor, Anna - In: Central European journal of economic modelling and … 11 (2019) 1, pp. 23-45

Persistent link: https://www.econbiz.de/10012294550

Chapter 6 Forecasting with VARMA Models

Lütkepohl, Helmut - 2006

Vector autoregressive moving-average (VARMA) processes are suitable models for producing linear forecasts of sets of time series variables. They provide parsimonious representations of linear data generation processes. The setup for these processes in the presence of stationary and cointegrated...

Persistent link: https://www.econbiz.de/10014023700

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