A new version of the partial autocorrelation plot and a new family of subset autoregressive models are introduced. A comprehensive approach to model identification, estimation and diagnostic checking is developed for these models. These models are better suited to efficient model building of high-order autoregressions with long time series. Several illustrative examples are given.

This paper studies robust inference in autoregression around a polynomial trend with stable autoregressive roots under non-stationary volatility. The formulation of the volatility process is quite general including many existing deterministic and stochastic non-stationary volatility specifications. The aim of the paper is two-fold. First, it develops a limit theory for least squares estimators ...

We consider a model of small diiusion type where the function which governs the drift term varies in a nonparametric set. We investigate discrete versions of this continuous model with respect to statistical equivalence, in the sense of the asymptotic theory of experiments. It is shown that an Euler diierence scheme as a discrete version of the stochastic diierential equation is asymptotically ...

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Lattice algorithms for estimating the parameters of a multivariate autoregression are generalized to deal with subset models in which some of the coefficient matrices are constrained to be zero. We first establish a recursive prediction-error version of the empirical Yule-Walker equations. The estimated coefficient matrices obtained from these recursions are the coefficients of the best linear ...

This paper suggests an identified VAR model that identifies monetary policy actions for the G-7 countries without encountering empirical puzzles such as the price puzzle and the liquidity puzzle. Using the model, the effects of monetary policy shocks are examined for the postwar period. Monetary policy shocks have significant effects on output in the short run. However, the contribution of mone...

We develop a global vector autoregressive model GVAR to analyze macroeconomic shock transmission among the East African Community countries. The results suggest that there is a signi…cant growth and in‡ation shock transmissions from Kenya to the rest of the member countries while the transmission in the opposite direction is insigni…cant. The macroeconomic shocks are re‡ected more on prices tha...