This paper proposes an age-coherent sparse Vector Autoregression mortality model, which combines the appealing features of existing VAR-based models, to forecast future rates. In particular, proposed model utilizes a data-driven method determine autoregressive coefficient matrix, and then employs rotation algorithm in projection phase generate forecasts. estimation phase, age-specific improveme...

In this paper, we develop an effective approach to model linear non-Gaussian causal relationships among a composite set of major US macroeconomic factors. The proposed approach first models the linear relationships of the factors using the Vector Autoregression (VAR) model, then the casual relationships are discovered using the linear non-Gaussian Structural Equation Modeling (SEM) method. One ...

Abstract The aim of this study is to identify the dynamics Gross Domestic Product growth in Indonesian fisheries and marine sector. This important considering that Indonesia a country has abundant wealth but faces several challenges such as production quality, investment growth, global uncertainty, international trade cycle. Thus, considers variables, namely GDP sector, domestic investment, for...

This paper examines empirically the tourism impact on the long-run economic growth of Greece by using the causality analysis among real gross domestic product, real effective exchange rate and international tourism earnings. A multivariate autoregressive VAR model is applied for the examined period 1960:Ι – 2000:IV. The results of cointegration analysis suggested that there is one cointegrated ...

this paper aims to investigate the role of each aggregate spending component in the monetary policy transmission in indonesia. it assesses the relative strength of the role of each spending component in the monetary policy transmission. in so doing, this study employs the contribution analysis, which is calculated based on the cumulative impulse response of each component of gdp to a monetary p...

Many financial time series processes appear subject to periodic structural changes in their dynamics. Regression relationships are often not robust to outliers nor stable over time, whilst the existence of changes in variance over time is well documented. This paper considers a vector autoregression subject to pseudocyclical structural changes. The parameters of a vector autoregression are mode...

Coffee exports are influenced by the exchange rate, price of coffee and amount production. The purpose study was to determine short-term long-term relationship between in 2001-2018. research method is quantitative descriptive using classical assumption test Error Correlation Model (ECM). results VAR that not affected prices, production rupiah rate. were significantly production, prices rate (ex...

Using the skew integration theory and establishment of a vector autoregression model (Var) to analyze dynamic impact fiscal expenditure on annual per capita net income farmers, wage income, operating transferability property in Guangdong province from 1998 2019, empirical findings show that government spending has considerable favourable influence farmers’ yearly family transferability, income....

In this study, we conduct a time series analysis of the US stock market’s response to COVID-19 pandemic. Using both and global daily newly confirmed cases market returns data represented by Nasdaq, S&P 500, Dow Jones over period 31 December 2019 30 2021, examine time-series impact on market. We employ our input into vector autoregression model (VAR) ARMA-GARCH characterize dynamic relations...

This study examined the relationship between inflation, foreign investment (FDI), and employment with economic growth. used secondary data from 1990 to 2020. The were analyzed using vector autoregression (VAR) analysis method. results showed that inflation had no significant effect on Vice versa, growth inflation. FDI a negative Furthermore, FDI. absorption of labor did not have employment. gov...