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Multivariate Time Series Forecasting : Nonparametric Vector Autoregression Using NNS

Viole, Fred - 2019

This quick note is intended to introduce the intuition behind the 'NNS.VAR' function in the "NNS" R-package, which …

Persistent link: https://www.econbiz.de/10012859140

Identification and Real-Time Forecasting of Norwegian Business Cycles

Aastveit, Knut Are - 2015

We define and forecast classical business cycle turning points for the Norwegian economy. When defining reference business cycles, we compare a univariate and a multivariate Bry-Boschan approach with univariate Markov-switching models and Markov-switching factor models. On the basis of a...

Persistent link: https://www.econbiz.de/10013021261

Probabilistic Forecasting with Stationary VAR Models

Mojab, Ramin - 2016

I use a set of vector autoregressive models to forecast some of the main macroeconomic variables in a wide range of countries. The goal is to provide some insight about different forecast accuracy measures in a probabilistic forecasting framework. The countries are selected based on their...

Persistent link: https://www.econbiz.de/10012985801

Testing for Granger Causality in Large Mixed-Frequency VARs

Götz, Thomas - 2016

We analyze Granger causality testing in a mixed-frequency VAR, where the difference in sampling frequencies of the … improve the finite sample properties of these tests. We also consider a Bayesian VAR that we carefully extend to the presence …. (2015a) as well as to the unrestricted VAR using Monte Carlo simulations. The techniques are illustrated in an empirical …

Persistent link: https://www.econbiz.de/10012988652