a central problem ill empirical macroeconomics is to determine when and how much the exchange rate is misaligned. this paper clarifies and calculates the concept of’ the equilibrium real exchange rate, using a structural vector auto regression (var) model. by imposing long—run restrictions on a var model for iran, lour structural shocks are identified: nominal demand, real demand, supply and oi...

This paper examined the volatility spillover effects between futures market and spot market in China, using both VAR model and TVP-VAR model. This study found strong bi-directional volatility spillovers between CSI futures and spot markets, and the change of futures’ volatility decreased the change of spot market’s volatility. This results support the hypothesis that the risk management functio...

The Hinich (1982) bispectrum test for nonlinearity and Gaussianity indicates that the residuals of the Tiao-Box (1981) constrained and unconstrained VAR models for the gas furnace data reject the assumption of Gaussianity and linearity over a grid of bandwidths for estimating the bispectrum. These findings call into question the specification of the linear VAR and VARMA models assumed by Tiao-B...

The age of stratospheric air is computed with a trajectory model, using ECMWF ERA-40 3D-Var and operational 4D-Var winds. Analysis as well as forecast data are used. In the latter case successive forecast segments are put together to get a time series of the wind fields. This is done for different forecast segment lengths. The sensitivity of the computed age to the forecast segment length and a...

Estimates of functional connectivity using resting state functional Magnetic Resonance Imaging (rs-fMRI) are acutely sensitive to artifacts and large scale nuisance variation. As a result much effort is dedicated to preprocessing rs-fMRI data and using diagnostic measures to identify bad scans. One such diagnostic measure is DVARS, the spatial root mean square of the data after temporal differe...

In this article we investigate the theoretical behaviour of finite lag VAR(n) models fitted to time series that in truth come from an infinite order VAR(∞) data generating mechanism. We show that overall error can be broken down into two basic components, an estimation error that stems from the difference between the parameter estimates and their population ensemble VAR(n) counterparts, and an ...

This paper presents the operational implementation of a 1D+4D-Var assimilation system of rain affected satellite observations at ECMWF. The first part describes the methodology and performance analysis of the 1D-Var retrieval scheme in clouds and precipitation that uses SSM/I microwave radiance observations for the estimation of total column water vapor. The second part shows the global and lon...