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Keywords: vector auto-regressions
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Journal Article
Gary Koop and others
Journal of the Royal Statistical Society Series A: Statistics in Society, Volume 183, Issue 1, January 2020, Pages 91–119, https://doi.org/10.1111/rssa.12491
Published: 16 July 2019
... frequency and are released with significant delay. Regional policy makers would benefit from more frequent and timely data. We develop a stacked, mixed frequency vector auto-regression to provide, each quarter, nowcasts of annual output growth for the UK regions. The information that we use to update our...
Journal Article
Irene Papanicolas and Alistair McGuire
Journal of the Royal Statistical Society Series A: Statistics in Society, Volume 180, Issue 2, February 2017, Pages 409–432, https://doi.org/10.1111/rssa.12203
Published: 14 May 2016
... based on hospital fixed effects estimated from yearly cross-sectional patient level data, and vector auto-regressions estimated over time, which then combine information from different time periods and across conditions to produce robust hospital quality measures. Our results suggest that this method...
Chapter
Published: 22 March 2018
... commodity price shocks inflation vector auto-regressions monetary policy models developing countries fiscal policy DSGE models In this chapter 1 we aim to identify the main determinants of inflation in the Communauté Economique et Monétaire de l’Afrique Centrale (CEMAC...