Simon Fraser University

Autoregressive Moving Average Error Processes

A model with first-order autoregressive errors, AR(1), has the form while an AR(2) error process has the form and so forth for higher-order processes. Note that the ...
Simon Fraser University

Parks Method (Autoregressive Model)

The model assumed is first-order autoregressive with contemporaneous correlation between cross sections. In this model, the covariance matrix for the vector of random errors u can be expressed as A ...
JSTOR Daily

Forecasting the Euro Exchange Rate Using Vector Error Correction Models

This paper presents an exchange rate model for the Euro exchange rates of four major currencies, namely the US dollar, the British pound, the Japanese yen and the Swiss franc. The model is based on ...
International Monetary Fund

Bayesian Vars: A Survey of the Recent Literature with An Application to the European Monetary System

This paper reviews recent advances in the specification and estimation of Bayesian Vector Autoregressive models (BVARs). After describing the Bayesian principle of estimation, we first present the ...
Investopedia

What Are Autoregressive Models? How They Work and Example

Thomas J Catalano is a CFP and Registered Investment Adviser with the state of South Carolina, where he launched his own financial advisory firm in 2018. Thomas' experience gives him expertise in a ...
Risk

Decomposing supply shocks in the US electricity industry: evidence from a time-varying Bayesian panel vector autoregression model

This paper investigates spillovers between electricity supply shocks and US growth, using monthly data from forty-eight US states from January 2001 to September 2016, and employs a novel strategy for ...