The concept of causality introduced by Wiener (1956) and Granger (1969) is defined in terms of predictability one … causality measures typically involve complex functions of model parameters in VAR and VARMA models, we propose a simple method …

no predictability. In this paper, we expand the scope of inflation predictability and explore whether macroeconomic …, housing starts, and the term spread provide significant out-of-sample predictability for the distribution of core inflation … research shows that macroeconomic indicators do not add much to the predictability of the future mean inflation. This paper …

(VAR) forecasting models. The analyses show that certain factor-augmented VAR models improve upon a simple univariate …

In this paper we estimate a structural VAR model to identify the causes of inflation in Ecuador. To examine the VAR … to the variables in the VAR. We differ from previous studies because we are able not only to identify the impact of each …

exchange rate pass-through to domestic prices in the European transition economies. We estimate VAR model to investigate (1 …

In this paper, I apply univariate and vector autoregressive (VAR) models to forecast inflation in Vietnam. To … forecasting models from among the different candidates. I find that VAR_m2 is the best monthly model to forecast inflation in …