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Fitting autoregressive models for prediction

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Cited by:

  1. Bingqing Huang & Haonan Zheng & Xinbo Guo & Yi Yang & Ximing Liu, 2021. "A Novel Model Based on DA-RNN Network and Skip Gated Recurrent Neural Network for Periodic Time Series Forecasting," Sustainability, MDPI, vol. 14(1), pages 1-14, December.
  2. Judith Giles & Cara Williams, 2001. "Export-led growth: a survey of the empirical literature and some non-causality results. Part 2," The Journal of International Trade & Economic Development, Taylor & Francis Journals, vol. 9(4), pages 445-470.
  3. Thomas Gries & Tim Krieger & Daniel Meierrieks, 2011. "Causal Linkages Between Domestic Terrorism and Economic Growth," Defence and Peace Economics, Taylor & Francis Journals, vol. 22(5), pages 493-508, June.
  4. Ramona DUMITRIU & Razvan STEFANESCU, 2014. "Gone Fishin’ Effects In Returns," Risk in Contemporary Economy, "Dunarea de Jos" University of Galati, Faculty of Economics and Business Administration, pages 254-261.
  5. Venus Khim-Sen Liew, 2004. "Which Lag Length Selection Criteria Should We Employ?," Economics Bulletin, AccessEcon, vol. 3(33), pages 1-9.
  6. Chapa Cantú, Joana Cecilia & Saldaña Villanueva, Carlos Emmanuel & Luna Domínguez, Edgar Mauricio, 2023. "“Stay at home (if you can)”: informal employment and COVID-19 in Mexico," Revista Finanzas y Politica Economica, Universidad Católica de Colombia, vol. 15(1), pages 135-155, January.
  7. Stefanescu, Razvan & Dumitriu, Ramona, 2013. "MOY effects in returns and in volatilities of the Romanian capital market," MPRA Paper 52474, University Library of Munich, Germany, revised 28 Oct 2013.
  8. Philipp Maier & Saskia Bezoen, 2002. "Central bank bashing: The case of the European Central Bank," Macroeconomics 0209001, University Library of Munich, Germany.
  9. Judith A. Clarke & Mukesh Ralhan, 2005. "Direct and Indirect Causality Between Exports and Economic Output for Bangladesh and Sri Lanka: Horizon Matters," Econometrics Working Papers 0512, Department of Economics, University of Victoria.
  10. David F. Hendry & Hans-Martin Krolzig, 2005. "The Properties of Automatic "GETS" Modelling," Economic Journal, Royal Economic Society, vol. 115(502), pages 32-61, March.
  11. Campos, Eduardo Lima & Cysne, Rubens Penha, 2017. "A time-varying fiscal reaction function for Brazil," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 795, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
  12. Rau Andrea & Jaffrézic Florence & Foulley Jean-Louis & Doerge Rebecca W, 2010. "An Empirical Bayesian Method for Estimating Biological Networks from Temporal Microarray Data," Statistical Applications in Genetics and Molecular Biology, De Gruyter, vol. 9(1), pages 1-28, January.
  13. Muhammad Nadim Hanif & Muhammad Jahanzeb Malik & Javed Iqbal, 2016. "Intrinsic Inflation Persistence in a Developing Country," SBP Research Bulletin, State Bank of Pakistan, Research Department, vol. 12, pages 19-42.
  14. Chan, Leo & Lien, Donald & Weng, Wenlong, 2008. "Financial interdependence between Hong Kong and the US: A band spectrum approach," International Review of Economics & Finance, Elsevier, vol. 17(4), pages 507-516, October.
  15. Ramona DUMITRIU & Razvan STEFANESCU, 2017. "The Behavior of Stock Prices during Lent and Advent," Risk in Contemporary Economy, "Dunarea de Jos" University of Galati, Faculty of Economics and Business Administration, pages 95-112.
  16. Abdulaleem Isiaka & Alexander Mihailov & Giovanni Razzi, 2022. "Distributional Effects of Public Spending and Tax Shocks in Middle-Income Countries: A Panel VAR Approach," Economics Discussion Papers em-dp2022-09, Department of Economics, University of Reading.
  17. Rodrigo Hakim das Neves, 2020. "Bitcoin pricing: impact of attractiveness variables," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 6(1), pages 1-18, December.
  18. Asghar, Zahid & Abid, Irum, 2007. "Performance of lag length selection criteria in three different situations," MPRA Paper 40042, University Library of Munich, Germany.
  19. Janusz Sowinski, 2021. "The Impact of the Selection of Exogenous Variables in the ANFIS Model on the Results of the Daily Load Forecast in the Power Company," Energies, MDPI, vol. 14(2), pages 1-18, January.
  20. Kathryn M. Dominguez, 1991. "Do Exchange Auctions Work? An Examination of the Bolivian Experience," NBER Working Papers 3683, National Bureau of Economic Research, Inc.
  21. WILLIAM E. Cullison, 1993. "Saving Measures As Economic Growth Indicators," Contemporary Economic Policy, Western Economic Association International, vol. 11(1), pages 1-8, January.
  22. Fenton, Victor M. & Gallant, A. Ronald, 1996. "Qualitative and asymptotic performance of SNP density estimators," Journal of Econometrics, Elsevier, vol. 74(1), pages 77-118, September.
  23. Jaroslava Hlouskova & Martin Wagner, 2009. "Finite Sample Correction Factors for Panel Cointegration Tests," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 71(6), pages 851-881, December.
  24. Jacint Balaguer & Manuel Cantavella-Jorda, 2002. "Tourism as a long-run economic growth factor: the Spanish case," Applied Economics, Taylor & Francis Journals, vol. 34(7), pages 877-884.
  25. Maier, Philipp & Sturm, Jan-Egbert & de Haan, Jakob, 2002. "Political pressure on the Bundesbank: an empirical investigation using the Havrilesky approach," Journal of Macroeconomics, Elsevier, vol. 24(1), pages 103-123, March.
  26. P. A. Nazarov & Kazakova, Maria, 2014. "Theoretical Basis of Prediction of Main Budget Parameters of Country," Published Papers r90221, Russian Presidential Academy of National Economy and Public Administration.
  27. Stefanescu, Răzvan & Dumitriu, Ramona, 2016. "The impact of the Great Lent and of the Nativity Fast on the Bucharest Stock Exchange," MPRA Paper 89023, University Library of Munich, Germany, revised 22 Dec 2016.
  28. Carlos Alberto Piscarreta Pinto Ferreira, 2021. "Does Public Debt Ownership Structure Matter for a Borrowing Country?," Working Papers REM 2021/0190, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
  29. Hizir Sofyan & M. Shabri Abd. Majid & Moh. Rizky Rahmanda, 2019. "Modeling Dynamic Causalities between the Indonesian Rupiah and Forex Markets of ASEAN, Japan and Europe," Contemporary Economics, University of Economics and Human Sciences in Warsaw., vol. 13(1), March.
  30. Giovanna Jona Lasinio & Francesco Lagona, 2002. "Selection of the neighborhood structure for space-time Markov random field models," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 11(3), pages 293-311, October.
  31. Andrew Neath & Joseph Cavanaugh & Adam Weyhaupt, 2015. "Model evaluation, discrepancy function estimation, and social choice theory," Computational Statistics, Springer, vol. 30(1), pages 231-249, March.
  32. Abdulnasser Hatemi-J, 2007. "Forecasting properties of a new method to determine optimal lag order in stable and unstable VAR models," Applied Economics Letters, Taylor & Francis Journals, vol. 15(4), pages 239-243.
  33. Z. Bragoudakis & D. Sideris, 2021. "Asymmetric price adjustment and the effects of structural reforms and low demand in the gasoline market: the case of Greece," Journal of Applied Economics, Taylor & Francis Journals, vol. 24(1), pages 504-522, January.
  34. Sturm, Jan-Egbert & Jacobs, Jan & Groote, Peter, 1995. "Productivity impacts of infrastructure investment in the Netherlands 1853-1913," Research Report 95D30, University of Groningen, Research Institute SOM (Systems, Organisations and Management).
  35. Chipman, John Somerset & Winker, Peter, 1994. "Optimal industrial classification: [an application to the German industrial classification system]," Discussion Papers, Series II 236, University of Konstanz, Collaborative Research Centre (SFB) 178 "Internationalization of the Economy".
  36. Eric Beutner & Alexander Heinemann & Stephan Smeekes, 2017. "A Justification of Conditional Confidence Intervals," Papers 1710.00643, arXiv.org, revised Jan 2019.
  37. Moaniba, Igam M. & Su, Hsin-Ning & Lee, Pei-Chun, 2019. "On the drivers of innovation: Does the co-evolution of technological diversification and international collaboration matter?," Technological Forecasting and Social Change, Elsevier, vol. 148(C).
  38. Xinxin Wang & Zeshui Xu & Yong Qin & Marinko Skare, 2023. "The global impact of financial development on renewable energy in a panel structural vector autoregression analysis," Sustainable Development, John Wiley & Sons, Ltd., vol. 31(3), pages 1364-1383, June.
  39. Jian-Feng Yao, 2000. "On Least Squares Estimation for Stable Nonlinear AR Processes," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 52(2), pages 316-331, June.
  40. Liang, Faming, 2002. "Some connections between Bayesian and non-Bayesian methods for regression model selection," Statistics & Probability Letters, Elsevier, vol. 57(1), pages 53-63, March.
  41. Abdur R. Chowdhury, 1991. "A Causal Analysis of Defense Spending and Economic Growth," Journal of Conflict Resolution, Peace Science Society (International), vol. 35(1), pages 80-97, March.
  42. Hakan Çetintaş & Salih Barişik, 2009. "Export, Import and Economic Growth: The Case of Transition Economies," Transition Studies Review, Springer;Central Eastern European University Network (CEEUN), vol. 15(4), pages 636-649, February.
  43. Jan Jacobs & Jan-Egbert Sturm, 2005. "Do Ifo Indicators Help Explain Revisions in German Industrial Production?," Contributions to Economics, in: Jan-Egbert Sturm & Timo Wollmershäuser (ed.), Ifo Survey Data in Business Cycle and Monetary Policy Analysis, pages 93-114, Springer.
  44. Muhammad Hanif & Choonhwa Lee & Sumi Helal, 2020. "Predictive topology refinements in distributed stream processing system," PLOS ONE, Public Library of Science, vol. 15(11), pages 1-27, November.
  45. Nyankori, James Cyprian Okuk, 1991. "Price Transmission In The Catfish Industry With Specific Emphasis On The Role Of Processing Cooperatives," Southern Journal of Agricultural Economics, Southern Agricultural Economics Association, vol. 23(1), pages 1-6, July.
  46. Kotb, M.S. & Raqab, M.Z., 2017. "Inference and prediction for modified Weibull distribution based on doubly censored samples," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 132(C), pages 195-207.
  47. Christian Mueller, 2006. "Testing Temporal Disaggregation," KOF Working papers 06-134, KOF Swiss Economic Institute, ETH Zurich.
  48. Robert B. Archibald & Alfredo M. Pereira, 2003. "Effects of Public and Private R&D on Private-Sector Performance in the United States," Public Finance Review, , vol. 31(4), pages 429-451, July.
  49. Tobias Duemmler & Daniel Eissrich & Stephan Kienle, 2012. "Alignment to the eurosystem: some findings from a VAR approach for selected CEE countries," International Journal of Economic Policy in Emerging Economies, Inderscience Enterprises Ltd, vol. 5(1), pages 37-46.
  50. Bin Liu & Weifeng Chen & Bo Li & Xiuping Liu, 2022. "Neural Subspace Learning for Surface Defect Detection," Mathematics, MDPI, vol. 10(22), pages 1-16, November.
  51. Tao Li & Xu Han & Jiaqi Ma & Marilia Ramos & Changju Lee, 2023. "Operational safety of automated and human driving in mixed traffic environments: A perspective of car-following behavior," Journal of Risk and Reliability, , vol. 237(2), pages 355-366, April.
  52. GONZALO, Jesus & PITARAKIS, Jean-Yves, 1994. "Comovements in Large Systems," LIDAM Discussion Papers CORE 1994065, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  53. Mohamed Traoré, 2018. "Government spending and inclusive growth in sub-Saharan Africa: A panel VAR analysis," CERDI Working papers hal-01940506, HAL.
  54. Garcia-Lazaro, Aida & Pearce, Nick, 2023. "Intangible capital, the labour share and national ‘growth regimes’," Journal of Comparative Economics, Elsevier, vol. 51(2), pages 674-695.
  55. Winker, Peter, 1995. "Identification of multivariate AR-models by threshold accepting," Computational Statistics & Data Analysis, Elsevier, vol. 20(3), pages 295-307, September.
  56. Wang, Xinxin & Xu, Zeshui & Qin, Yong & Skare, Marinko, 2022. "Innovation, the knowledge economy, and green growth: Is knowledge-intensive growth really environmentally friendly?," Energy Economics, Elsevier, vol. 115(C).
  57. Rolf Tschernig & Lijian Yang, 2000. "Nonparametric Lag Selection for Time Series," Journal of Time Series Analysis, Wiley Blackwell, vol. 21(4), pages 457-487, July.
  58. BOKER Poumie & NKEMGHA ZEUFACK Guivis, 2021. "The Relationship between Energy Transition, Industrialization and Employment: A GMM Panel Var Approach," Energy Economics Letters, Asian Economic and Social Society, vol. 8(1), pages 15-28, June.
  59. Elitzur, Moshe & Kaplan, Scott & Zilberman, David, 2020. "Hindered growth," Journal of Economic Dynamics and Control, Elsevier, vol. 111(C).
  60. P. A. Nazarov & Kazakova, Maria, 2014. "Development of Prediction Model of Basic Budget Parameters in Russian Federation," Published Papers r90220, Russian Presidential Academy of National Economy and Public Administration.
  61. Nistor, Costel & Dumitriu, Ramona & Stefanescu, Razvan, 2012. "Impact of the global crisis on the linkages between CAC 40 and indexes from CEE countries," MPRA Paper 42511, University Library of Munich, Germany, revised 18 Sep 2012.
  62. Jacint Balaguer & Manuel Cantavella-Jorda, 2004. "Structural change in exports and economic growth: cointegration and causality analysis for Spain (1961-2000)," Applied Economics, Taylor & Francis Journals, vol. 36(5), pages 473-477.
  63. Raihan Ul Islam & Xhesika Ruci & Mohammad Shahadat Hossain & Karl Andersson & Ah-Lian Kor, 2019. "Capacity Management of Hyperscale Data Centers Using Predictive Modelling," Energies, MDPI, vol. 12(18), pages 1-22, September.
  64. Mattia F Pagnotta & Gijs Plomp, 2018. "Time-varying MVAR algorithms for directed connectivity analysis: Critical comparison in simulations and benchmark EEG data," PLOS ONE, Public Library of Science, vol. 13(6), pages 1-27, June.
  65. Charles G. Renfro, 2009. "The Practice of Econometric Theory," Advanced Studies in Theoretical and Applied Econometrics, Springer, number 978-3-540-75571-5, July-Dece.
  66. Sepehr Ramyar & Farhad Kianfar, 2019. "Forecasting Crude Oil Prices: A Comparison Between Artificial Neural Networks and Vector Autoregressive Models," Computational Economics, Springer;Society for Computational Economics, vol. 53(2), pages 743-761, February.
  67. Yi, Eojin & Cho, Yerim & Sohn, Sungbin & Ahn, Kwangwon, 2021. "After the Splits: Information Flow between Bitcoin and Bitcoin Family," Chaos, Solitons & Fractals, Elsevier, vol. 142(C).
  68. K. Lebedeva, 2015. "An Empirical Analysis of the Russian Financial Markets’ Liquidity and Returns," Review of Business and Economics Studies // Review of Business and Economics Studies, Финансовый Университет // Financial University, vol. 3(3), pages 5-31.
  69. Bjørn Gunnar Hansen & Yushu Li, 2017. "An Analysis of Past World Market Prices of Feed and Milk and Predictions for the Future," Agribusiness, John Wiley & Sons, Ltd., vol. 33(2), pages 175-193, April.
  70. Nan Li & Simon S. Kwok, 2021. "Jointly determining the state dimension and lag order for Markov‐switching vector autoregressive models," Journal of Time Series Analysis, Wiley Blackwell, vol. 42(4), pages 471-491, July.
  71. Bengtsson, Thomas & Cavanaugh, Joseph E., 2006. "An improved Akaike information criterion for state-space model selection," Computational Statistics & Data Analysis, Elsevier, vol. 50(10), pages 2635-2654, June.
  72. Tatyana Krivobokova, 2013. "Smoothing parameter selection in two frameworks for penalized splines," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 75(4), pages 725-741, September.
  73. Reeder, Meyra M., 2000. "Asymmetric Prices: Implications on Trader’s Market Power in Philippine Rice," Philippine Journal of Development JPD 2000 Vol. XXVII No. 1, Philippine Institute for Development Studies.
  74. Giacomini, Raffaella & Granger, Clive W. J., 2004. "Aggregation of space-time processes," Journal of Econometrics, Elsevier, vol. 118(1-2), pages 7-26.
  75. Max Köhler & Anja Schindler & Stefan Sperlich, 2014. "A Review and Comparison of Bandwidth Selection Methods for Kernel Regression," International Statistical Review, International Statistical Institute, vol. 82(2), pages 243-274, August.
  76. Chakraborty, Lekha S., 2006. "Fiscal deficit, capital formation, and crowding out: Evidence from India," Working Papers 06/43, National Institute of Public Finance and Policy.
  77. Ejike Udeogu & Shampa Roy-Mukherjee & Uzochukwu Amakom, 2021. "Does Increasing Product Complexity and Diversity Cause Economic Growth in the Long-Run? A GMM Panel VAR Evidence," SAGE Open, , vol. 11(3), pages 21582440211, August.
  78. Muhammad Farooq Arby & Amjad Ali, 2017. "Threshold Inflation in Pakistan," SBP Research Bulletin, State Bank of Pakistan, Research Department, vol. 13, pages 1-19.
  79. Ramona Dumitriu & Razvan Stefanescu, 2015. "The Relationship Between Romanian Exports And Economic Growth After The Adhesion To European Union," Risk in Contemporary Economy, "Dunarea de Jos" University of Galati, Faculty of Economics and Business Administration, pages 17-26.
  80. Hammoudeh, Shawkat & Nguyen, Duc Khuong & Sousa, Ricardo M., 2015. "US monetary policy and sectoral commodity prices," Journal of International Money and Finance, Elsevier, vol. 57(C), pages 61-85.
  81. David F. Hendry & Hans-Martin Krolzig, 2005. "The Properties of Automatic "GETS" Modelling," Economic Journal, Royal Economic Society, vol. 115(502), pages C32-C61, 03.
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