Estimation of the parameters of a multidimensional autoregression model in the presence of anomalous errors

1993 ◽  
Vol 36 (12) ◽  
pp. 1168-1173
Author(s):  
F. F. Idrisov
Keyword(s):  
Autoregression Model ◽  
Anomalous Errors

Wavelet analysis-based projection pursuit autoregression model and its application in the runoff forecasting of Li Xiangjiang basin

2018 ◽  
Vol 63 (12) ◽  
pp. 1817-1830 ◽  
Author(s):  
Zhiqiang Jiang ◽  
Rongbo Li ◽  
Changming Ji ◽  
Anqiang Li ◽  
Jianzhong Zhou
Keyword(s):  
Wavelet Analysis ◽  
Projection Pursuit ◽  
Runoff Forecasting ◽  
Autoregression Model

scholarly journals ANALISIS KAUSALITAS KEBIJAKAN FISKAL EKSPANSIF, KEBIJAKAN MONETER EKSPANSIF DAN PERTUMBUHAN EKONOMI DI INDONESIA

2020 ◽  
Vol 2 (1) ◽  
pp. 55
Author(s):  
Fadhliah Yuniwinsah ◽  
Ali Anis
Keyword(s):  
Economic Growth ◽  
Time Series ◽  
Monetary Policy ◽  
Fiscal Policy ◽  
Time Series Data ◽  
Vector Autoregression ◽  
Series Data ◽  
Vector Autoregression Model ◽  
Autoregression Model

This study examined the causality between expansionary fiscal policy, expansionary monetary policy and economic growth in Indonesia’s using a time series data with vector autoregression model (VAR) in the period of 1969-2018. The results of this study showed that are there is no causality between expansionary fiscal policy and expansionary monetary policy but there one-way relationship between them, it is the expansionary monetary policy gives influence to expansionary fiscal policy. There is no causality between expansionary fiscal policy and economic growth but there one-way relationship between them, It is economic growth gives influence to expansionary fiscal policy. And there is no causality between expansionary monetary policy and economic growth but there one-way relationship between them, it is economic growth gives influence to expansionary monetary policy.

scholarly journals A Large Bayesian Vector Autoregression Model for Russia

2014 ◽  
Author(s):  
Elena Deryugina ◽  
Alexey A. Ponomarenko
Keyword(s):  
Vector Autoregression ◽  
Vector Autoregression Model ◽  
Autoregression Model

scholarly journals Spatial Analysis of Fiscal Balance Fund on Income Inequality in West Kalimantan

2021 ◽  
Vol 17 (1) ◽  
pp. 1-19
Author(s):  
Amelia Amelia ◽  
Tri Diana
Keyword(s):  
Income Inequality ◽  
Spatial Dependence ◽  
Medical Personnel ◽  
Spatial Autoregression ◽  
West Kalimantan ◽  
Income Disparities ◽  
Spatial Aspect ◽  
Negative Effect ◽  
Fiscal Balance ◽  
Autoregression Model

Abstract: The research aims to analyze the effect of fiscal balance fund on income inequality in West Kalimantan by considering spatial inter-relationships between existing districts/cities. The study showed that the Spatial Durbin Model with fixed effect was empirically suitable. A variant of spatial autoregression model using Gini Ratio during the period of 2010 – 2018 in 14 districts/cities of West Kalimantan. The study concludes that income disparities between districts/cities were low and constant or the income was relatively distributed per capita. Spatial interactions between districts/cities and their neighbors are also relatively low. Spatial aspect, fiscal balance fund and regional minimum wage have a significant negative effect. On the contrary, the industrial workforce, educated workforce and medical personnel do not affect income inequality in West Kalimantan. This study provides academics with the understanding of the importance of spatial dependence in income inequality model because the economic activity is always related to the neighbor.Keywords: fiscal balance fund, income inequality, spatial aspect Analisis Spasial Dana Perimbangan Terhadap Disparitas Pendapatan Kalimantan BaratAbstrak: Penelitian ini bertujuan menganalisis pengaruh dana perimbangan terhadap disparitas pendapatan di Kalimantan Barat dengan mempertimbangkan keterkaitan spasial antar kabupaten/kota yang ada. Studi ini menghasilkan pemilihan model spasial durbin dengan efek tetap secara empiris sudah tepat. Variansi dari model autoregresif spasial menggunakan Indeks Gini kurun waktu 2010–2018 silang tempat dari 14 kabupaten/kota di Kalimantan Barat. Hasil penelitian menyimpulkan disparitas pendapatan antar kabupaten/kota rendah dan konstan atau relatif merata dalam pendapatan per kapita. Interaksi spasial antar kabupaten/kota dengan tetangganya juga relatif rendah. Aspek spasial, dana perimbangan dan UMR secara negatif signifikan mempengaruhi disparitas pendapatan. Sedangkan tenaga kerja industri, tenaga kerja terdidik dan tenaga medis tidak mempengaruhi disparitas pendapatan di Kalimantan Barat. Penelitian ini memberikan wawasan bagi kalangan akademisi tentang pentingnya memasukkan spatial dependence kedalam model ketimpangan pendapatan karena proses kegiatan ekonomi selalu berkaitan dengan wilayah tetangga.Kata kunci: dana perimbangan, disparitas pendapatan, aspek spatial

scholarly journals On Nonlinear Relationship between Inflation and Economic Growth: A Study of ASEAN-5 Countries Period 2000–2016

2018 ◽  
Vol 63 (1) ◽  
pp. 1
Author(s):  
Ambar Galih ◽  
Sugiharso Safuan
Keyword(s):  
Economic Growth ◽  
Negative Correlation ◽  
Vector Autoregression ◽  
Empirical Studies ◽  
Vital Role ◽  
Nonlinear Relationship ◽  
Vector Autoregression Model ◽  
Autoregression Model

Money (inflation) has played a vital role in economic growth. However, the nexus between them has always drawn mesmerizing debates. From the thoughts of Classical and Keynes which argued the existence of money neutrality, to the level of empirical studies which find either positive or negative correlation between inflation and economic growth. Recent studies concerning the debatable relationship have evolved it into a hypothesis whether the relation is nonlinear with a threshold or a point where the link switches. This study aims to re-examine the causality between inflation and economic growth in ASEAN-5 countries period 2000Q1–2016Q4. The results based on Threshold Vector Autoregression model indicate the presence of a nonlinear relationship between the two variables.

scholarly journals A Large Bayesian Vector Autoregression Model for Russia

2014 ◽  
Author(s):  
Elena B. Deryugina ◽  
Alexey A. Ponomarenko
Keyword(s):  
Vector Autoregression ◽  
Vector Autoregression Model ◽  
Autoregression Model

scholarly journals An Approach of Vector Autoregression Model for Inflation Analysis in Indonesia

2018 ◽  
Vol 20 (3) ◽  
Author(s):  
Idah Zuhroh ◽  
Hendra Kusuma ◽  
Syela Kurniawati
Keyword(s):  
Exchange Rate ◽  
Money Supply ◽  
Foreign Exchange ◽  
Vector Autoregression ◽  
Negative Relationship ◽  
Foreign Exchange Reserves ◽  
Monthly Data ◽  
Vector Autoregression Model ◽  
Autoregression Model ◽  
The Stability

A control of the inflation rate caused by the fluctuations in foreign exchange reserves, money supply, and exchange rate is required to create the stability of the country's economy. This study aims to analyze the dynamic impact of disturbance factors contained in the variables of foreign exchange reserves, the money supply, and the exchange rate. This research used monthly data from June 2009 to November 2016. It used a method used of Vector Autoregression. The result shows that a foreign exchange reserve has a negative relationship nut not significant effect on inflation, money supply has positive relationship and significant effect on inflation, and exchange rate of rupiah to US dollar has negative relationship and significant effect on inflation. The responce of inflation from shocking occurs to supply, foreign exchange reserves and exchange rate tend to be convergent and the biggest contribution that influences inflation the most is exchange rate beside inflation itself.

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