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Seasonal quasi-vector autoregressive models for macroeconomic data

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  • Blazsek, Szabolcs
  • Escribano, Álvaro
  • Licht, Adrian

Abstract

We introduce the Seasonal-QVAR (quasi-vector autoregressive) model for world crude oil production and global real economic activity that identifies the hidden seasonality not found in linear VAR and VARMA models. World crude oil production has an annual seasonality component, and global real economic activity as measured by ocean freight rates has a six-month seasonality component.Seasonal-QVAR is a dynamic conditional score (DCS) model for the multivariate t distribution.Seasonal-VARMA and Seasonal-VAR are special cases of Seasonal-QVAR, this latter being superior to the two former models and also superior to the basic structural model with local level and stochastic seasonality components

Suggested Citation

  • Blazsek, Szabolcs & Escribano, Álvaro & Licht, Adrian, 2018. "Seasonal quasi-vector autoregressive models for macroeconomic data," UC3M Working papers. Economics 26316, Universidad Carlos III de Madrid. Departamento de Economía.
    • Handle: RePEc:cte:werepe:26316
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    1. Astrid Ayala & Szabolcs Blazsek, 2019. "Score-driven currency exchange rate seasonality as applied to the Guatemalan Quetzal/US Dollar," SERIEs: Journal of the Spanish Economic Association, Springer;Spanish Economic Association, vol. 10(1), pages 65-92, March.

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    More about this item

    Keywords

    Dynamic conditional score (DCS) models;

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection

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