Smooth Test for Meta-Elliptical Distribution of Innovations in the Vector Autoregressive Model

2020 ◽  
Author(s):  
Yan Su
Keyword(s):  
Autoregressive Model ◽  
Elliptical Distribution ◽  
Vector Autoregressive Model ◽  
Vector Autoregressive ◽  
Smooth Test

scholarly journals A Spatial Panel Structural Vector Autoregressive Model with Interactive Effects and Its Simulation

Mathematics ◽  
2021 ◽  
Vol 9 (8) ◽  
pp. 883
Author(s):  
Yaqing Liu ◽  
Hongbing Ouyang ◽  
Xiaolu Wei
Keyword(s):  
Autoregressive Model ◽  
Common Factors ◽  
Interactive Effects ◽  
Vector Autoregressive Model ◽  
Finite Sample ◽  
Vector Autoregressive ◽  
Spatial Panel ◽  
The Common ◽  
Structural Vector Autoregressive Model ◽  
Structural Vector

The existing spatial panel structural vector auto-regressive model can effectively capture the time and spatial dynamic dependence of endogenous variables. However, the hypothesis that the common factors have the same effect for all spatial units is unreasonable. Therefore, incorporating time effects, spatial effects, and time-individual effects, this paper develops a more general spatial panel structural vector autoregressive model with interactive effects (ISpSVAR) that can reflect the different effects of common factors on different spatial units. Additionally, based on whether or not the common factors can be observed, this paper proposes procedures to estimate ISpSVAR separately and studies the finite sample properties of estimators by Monte Carlo simulation. The simulation results show the effectiveness of the proposed ISpSVAR model and its estimation procedures.

scholarly journals Causality analysis of groundwater dynamics based on a Vector Autoregressive model in the semi-arid basin of Gundal (South India)

2012 ◽  
Vol 83 ◽  
pp. 1-10 ◽  
Author(s):  
S. Mangiarotti ◽  
M. Sekhar ◽  
L. Berthon ◽  
Y. Javeed ◽  
P. Mazzega
Keyword(s):  
Autoregressive Model ◽  
South India ◽  
Causality Analysis ◽  
Vector Autoregressive Model ◽  
Vector Autoregressive ◽  
Groundwater Dynamics ◽  
Semi Arid
Sign in / Sign up

Export Citation Format

Share Document