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 ...
Sub-Saharan African countries are exposed to spillovers from global financial variables, but the impact on economic activity is more significant in more financially developed economies. Generalized ...
After computing the sample autocovariance matrices, PROC STATESPACE fits a sequence of vector autoregressive models. These preliminary autoregressive models are used to estimate the autoregressive ...
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