The vector autoregressive model has long been used for portfolio analysis, while a recent extension (VARX) incorporates exogenous factors. Despite its increased forecasting precision, the ...
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 ...
This paper employs a threshold vector autoregressive (TVAR) model to analyze a possible asymmetric behavior of exchange rate pass-through (ERPT) or pricing-to-market (PTM) in Japanese exports between ...
A model for cell lineage data is presented and analysed. The model is an extension of the classical first-order autoregression, used in time-series studies, to bifurcating data trees of general size ...
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 ...
The STATESPACE procedure is designed to automatically select the best state space model for forecasting the series. You can specify your own model if you wish, and you can use the output from PROC ...
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