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Wavelet based time-varying vector autoregressive modelling

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  • Sato, Joao R.
  • Morettin, Pedro A.
  • Arantes, Paula R.
  • Amaro Jr., Edson

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  • Sato, Joao R. & Morettin, Pedro A. & Arantes, Paula R. & Amaro Jr., Edson, 2007. "Wavelet based time-varying vector autoregressive modelling," Computational Statistics & Data Analysis, Elsevier, vol. 51(12), pages 5847-5866, August.
    • Handle: RePEc:eee:csdana:v:51:y:2007:i:12:p:5847-5866
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    1. Christiano, Lawrence J. & Eichenbaum, Martin & Evans, Charles L., 1999. "Monetary policy shocks: What have we learned and to what end?," Handbook of Macroeconomics, in: J. B. Taylor & M. Woodford (ed.), Handbook of Macroeconomics, edition 1, volume 1, chapter 2, pages 65-148, Elsevier.
    2. Dahlhaus, R. & Neumann, M. & Von Sachs, R., 1997. "Nonlinear Wavelet Estimation of Time-Varying Autoregressive Processes," SFB 373 Discussion Papers 1997,34, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
    3. Giorgio E. Primiceri, 2005. "Time Varying Structural Vector Autoregressions and Monetary Policy," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 72(3), pages 821-852.
    4. James H. Stock & Mark W. Watson, 2001. "Vector Autoregressions," Journal of Economic Perspectives, American Economic Association, vol. 15(4), pages 101-115, Fall.
    5. Granger, C W J, 1969. "Investigating Causal Relations by Econometric Models and Cross-Spectral Methods," Econometrica, Econometric Society, vol. 37(3), pages 424-438, July.
    6. Christopher A. Sims, 1982. "Policy Analysis with Econometric Models," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 13(1), pages 107-164.
    7. Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, vol. 48(1), pages 1-48, January.
    8. Sack, Brian, 2000. "Does the fed act gradually? A VAR analysis," Journal of Monetary Economics, Elsevier, vol. 46(1), pages 229-256, August.
    9. Chang Chiann & Pedro Morettin, 1999. "Estimation of Time Varying Linear Systems," Statistical Inference for Stochastic Processes, Springer, vol. 2(3), pages 253-285, October.
    10. Andrews, Donald W.K., 1988. "Laws of Large Numbers for Dependent Non-Identically Distributed Random Variables," Econometric Theory, Cambridge University Press, vol. 4(3), pages 458-467, December.
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    Cited by:

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    2. Shahbaz, Muhammad & Mahalik, Mantu Kumar & Shah, Syed Hasanat & Sato, João Ricardo, 2016. "Time-varying analysis of CO2 emissions, energy consumption, and economic growth nexus: Statistical experience in next 11 countries," Energy Policy, Elsevier, vol. 98(C), pages 33-48.
    3. Mark Fiecas & Hernando Ombao, 2016. "Modeling the Evolution of Dynamic Brain Processes During an Associative Learning Experiment," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 111(516), pages 1440-1453, October.
    4. Ahdi N. Ajmi & Goodness C. Aye & Mehmet Balcilar & Rangan Gupta, 2015. "Causality between exports and economic growth in South Africa: evidence from linear and nonlinear tests," Journal of Developing Areas, Tennessee State University, College of Business, vol. 49(2), pages 163-181, April-Jun.
    5. K. Triantafyllopoulos, 2011. "Time-varying vector autoregressive models with stochastic volatility," Journal of Applied Statistics, Taylor & Francis Journals, vol. 38(2), pages 369-382, September.
    6. Mishra, Bibhuti Ranjan & Pradhan, Ashis Kumar & Tiwari, Aviral Kumar & Shahbaz, Muhammad, 2019. "The dynamic causality between gold and silver prices in India: Evidence using time-varying and non-linear approaches," Resources Policy, Elsevier, vol. 62(C), pages 66-76.
    7. Granados-Garcia, Guilllermo & Fiecas, Mark & Babak, Shahbaba & Fortin, Norbert J. & Ombao, Hernando, 2022. "Brain waves analysis via a non-parametric Bayesian mixture of autoregressive kernels," Computational Statistics & Data Analysis, Elsevier, vol. 174(C).
    8. G. E. Salcedo & R. F. Porto & S. Y. Roa & F. R. Momo, 2012. "A wavelet-based time-varying autoregressive model for non-stationary and irregular time series," Journal of Applied Statistics, Taylor & Francis Journals, vol. 39(11), pages 2313-2325, June.
    9. Lai, Hung-Cheng & Wang, Kuan-Min, 2014. "Relationship between the trading behavior of three institutional investors and Taiwan Stock Index futures returns," Economic Modelling, Elsevier, vol. 41(C), pages 156-165.
    10. Ajmi, Ahdi Noomen & Hammoudeh, Shawkat & Nguyen, Duc Khuong & Sato, João Ricardo, 2015. "On the relationships between CO2 emissions, energy consumption and income: The importance of time variation," Energy Economics, Elsevier, vol. 49(C), pages 629-638.
    11. Gallegati, Marco & Ramsey, James B. & Semmler, Willi, 2014. "Interest rate spreads and output: A time scale decomposition analysis using wavelets," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 283-290.
    12. Stephanos Papadamou & Nikolaos A. Kyriazis & Panayiotis G. Tzeremes, 2019. "Spillover Effects of US QE and QE Tapering on African and Middle Eastern Stock Indices," JRFM, MDPI, vol. 12(2), pages 1-20, April.
    13. Xu, Meng & Li, Jialiang & Chen, Ying, 2017. "Varying coefficient functional autoregressive model with application to the U.S. treasuries," Journal of Multivariate Analysis, Elsevier, vol. 159(C), pages 168-183.
    14. Ben Nasr, Adnen & Gupta, Rangan & Sato, João Ricardo, 2015. "Is there an Environmental Kuznets Curve for South Africa? A co-summability approach using a century of data," Energy Economics, Elsevier, vol. 52(PA), pages 136-141.
    15. Olsen, Lena Ringstad & Chaudhuri, Probal & Godtliebsen, Fred, 2008. "Multiscale spectral analysis for detecting short and long range change points in time series," Computational Statistics & Data Analysis, Elsevier, vol. 52(7), pages 3310-3330, March.

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