scholarly journals Generalized Forecast Error Variance Decomposition for Linear and Nonlinear Multivariate Models

2016 ◽  
Vol 78 (4) ◽  
pp. 595-603 ◽  
Author(s):  
Markku Lanne ◽  
Henri Nyberg
Keyword(s):  
Forecast Error ◽  
Error Variance ◽  
Variance Decomposition ◽  
Multivariate Models ◽  
Forecast Error Variance ◽  
Linear And Nonlinear ◽  
Forecast Error Variance Decomposition

The influence of economic policy uncertainty and geopolitical risk on US citizens overseas air passenger travel by regional destination

2020 ◽  
pp. 135481662098119
Author(s):  
James E Payne ◽  
Nicholas Apergis
Keyword(s):  
Economic Policy ◽  
Forecast Error ◽  
Error Variance ◽  
Variance Decomposition ◽  
Air Travel ◽  
Policy Uncertainty ◽  
Economic Policy Uncertainty ◽  
Passenger Travel ◽  
Forecast Error Variance

This research note extends the literature on the role of economic policy uncertainty and geopolitical risk on US citizens overseas air travel through the examination of the forecast error variance decomposition of total overseas air travel and by regional destination. Our empirical findings indicate that across regional destinations, US economic policy uncertainty explains more of the forecast error variance of US overseas air travel, followed by geopolitical risk with global economic policy uncertainty explaining a much smaller percentage of the forecast error variance.

scholarly journals Inflation in Malaysia

2010 ◽  
Author(s):  
Wong Hock Tsen
Keyword(s):  
Forecast Error ◽  
Price Change ◽  
Impulse Response Function ◽  
Import Price ◽  
Error Variance ◽  
Variance Decomposition ◽  
Oil Price ◽  
Forecast Error Variance ◽  
The Impact

This study examines the determination of inflation in Malaysia. The results of the generalised forecast error variance decomposition show that real import price change is the most important factor in the determination of inflation. The impact of real oil price change on inflation is marginal. An increase in real oil price has a more significant impact on inflation than a decrease in real oil price. The results of the generalised impulse response function show the impact of variables examined on inflation is relatively short. There is evidence that real oil price change Granger causes inflation.  

Sign in / Sign up

Export Citation Format

Share Document