We compare the performance of a subset of CBO’s economic forecasts against that of an unrestricted vector autoregression (VAR) model. We evaluate forecasts of real economic indicators as well as budget-related nominal statistics. We find that under most specifications, the VAR performs competitively with, if slightly worse than, the corresponding CBO forecasts at up to 20 quarters. Therefore, a...

This paper discusses model based inference in a vector autoregressive model for cofractional processes based on the Gaussian likelihood. The model allows the process Xt to be fractional of order d and cofractional of order d−b, that is, there exist vectors β for which βXt is fractional of order d − b. The parameters b and d satisfy either d ≥ b ≥ 1/2, d = b ≥ 1/2, or d = d0 ≥ b ≥ 1/2. We model ...

The main objective is Paralleling Brushless A.C. Generator to Grid system in constant VAR or in PF mode. Presently, the trend is to feed power to Grid from different sources of potential heads. That is available in different valley regions in India for meeting the power demand. Hence, the question of feeding power to national Grid. Power generated from different mini and micro Hydel projects ar...

A dynamic factor VAR model, estimated by MCMC simulation, is employed to assess the relative severity of post-war U.S. recessions. Joint modeling and estimation of all model unknowns yields rank estimates that fully account for parameter uncertainty. A convenient by-product of the simulation approach is a probability distribution of possible recession ranks that (i) accommodates uncertainty abo...

1 Chris Laing, Southampton Institute, Technology Faculty, Southampton, SO14 0YN, UK, [email protected] 2 Alan Robinson, Southampton Institute, Technology Faculty, Southampton, SO14 0YN, UK, [email protected] 3 Graham King, Southampton Institute, Technology Faculty, Southampton, SO14 0YN, UK, [email protected] Abstract  As an increasing higher priority United Kingdo...

In this work we construct a class of locally asymptotically most stringent (in the Le Cam sense) tests for independence between two sets of variables in the VAR models. These tests are based on multivariate ranks of distances and multivariate signs of the observations and are shown to be asymptotically distribution-free under very mild assumptions on the noise, which is obtained by applying a l...

Recently, the problem of opinion spam has been widespread and has attracted a lot of research attention. While the problem has been approached on a variety of dimensions, the temporal dynamics in which opinion spamming operates is unclear. Are there specific spamming policies that spammers employ? What kind of changes happen with respect to the dynamics to the truthful ratings on entities. How ...

This paper offers new insights into the processes of firm growth by applying a reduced-form vector autoregression (VAR) model to longitudinal panel data on French manufacturing firms. We observe the co-evolution of key variables such as growth of employment, sales, and gross operating surplus, as well as growth of multifactor productivity. It seems that employment growth is negatively associate...

In this paper we use a structural VAR model with block exogeneity to investigate if external shocks originating from the USA played a dominant role in influencing the macroeconomic fluctuations in East Asia during the period 1978-2007. The empirical results show a dynamic effect of external shocks, implying that, even though regional integration appears to be deepening and accelerating, especia...

F ollowing seminal work by Sims (1980a, 1980b), the economics profession has become increasingly concerned with studying sources of economic fluctuations. Sims’s use of vector autoregressions (VARs) made it possible to address both the relative importance and the dynamic effect of various shocks on macroeconomic variables. This type of empirical analysis has had at least two important consequen...