We develop a Bayesian nonparametric autoregressive model applied to flexibly estimate general transition densities exhibiting nonlinear lag dependence. Our approach is related density regression using Dirichlet process mixtures, with the Markovian likelihood defined through conditional distribution obtained from mixture. This results in extension of mixtures-of-experts formulation. address comp...

Related DatabasesWeb of Science You must be logged in with an active subscription to view this.Article DataHistorySubmitted: 14 May 2020Accepted: 16 July 2021Published online: 18 November 2021Keywordstimeseries, tensor factorization, autoregression, data-driven modelAMS Subject Headings37M10, 62M10, 37N30, 15A69, 47A80Publication DataISSN (online): 1536-0040Publisher: Society for Industrial and...

The purpose of this paper is to analyze the dynamic impact of Interest Rate Policy on the Real Estate Market. In this paper we constructed a vector autoregression (VAR) model using five indicators and analyzed the response of the real estate market to the impulse of interest rate policy based on the monthly data from January 2003 to September 2010 in China. The results show that the Central Ban...

s[v] = preo[v] s[w] = prvo[w] ∀w ∈ vars(prvo) s[Ov] = o s[Ow] = frozen ∀w ∈ vars(prvo) s[Cw] = v ∀w ∈ vars(prvo) We show that all operators o′ that interfere with Fire(o) are not applicable in s. Thus Fire(o) is the only applicable operator in Ts. Second, we show that for all these operators o′ ∈ Ts (except for Fire(o)), Ts already contains a necessary enabling set for o′ in s. Let u 6= Fire(o)...

According to the Harberger-Laursen-Metzler (HLM) effect an exogenous increase in the terms of trade faced by a small open economy leads to an improvement in that country’s trade balance. In this paper structural vector autoregression techniques are used to investigate whether there is any systematic pattern in the responses of the trade balance to terms of trade shocks for a large number of sma...

This paper proposes Bayesian forecasting in a vector autoregression using a democratic prior. This prior is chosen to match the predictions of survey respondents. In particular, the unconditional mean for each series in the vector autoregression is centered around long-horizon survey forecasts. Heavy shrinkage toward the democratic prior is found to give good real-time predictions of a range of...

This study investigates financial contagion among seven international stock markets around the October 19, 1987 crash. Building on a recent advance in vector autoregression analysis by [Swanson, N., Granger, C.W.J., 1997. Impulse response functions based on a causal approach to residual orthogonalization in vector autoregression. Journal of the American Statistical Association 92, 357–367], dat...