This paper is an attempt to investigate the effect of fiscal policy on output in Indonesia using Structural Vector Autoregression (SVAR) methodology for the period 1983:1 – 2010:1. We use contemporaneous restriction and follow Blanchard and Perotti (1999) technique to identify structural fiscal policy shocks in Indonesia. The estimation results show that the government spending shocks are found...

We develop a Bayesian median autoregressive (BayesMAR) model for time series forecasting. The proposed method utilizes time-varying quantile regression at the median, favorably inheriting robustness of in contrast to widely used mean-based methods. Motivated by working Laplace likelihood approach regression, BayesMAR adopts parametric bearing same structure as models altering Gaussian error Lap...

With uncertain changes of the economic environment, macroeconomic downturns during recessions and crises can hardly be explained by a Gaussian structural shock. There is evidence that distribution variables skewed heavy tailed. In this paper, we contribute to literature extending vector autoregression (VAR) model account for more realistic assumptions on multivariate variables. We propose gener...

This paper proposes a piecewise autoregression for general integer-valued time series. The conditional mean of the process depends on parameter which is constant over time. We derive an inference procedure based penalized contrast that constructed from Poisson quasi-maximum likelihood model. consistency proposed estimator established. From practical applications, we data-driven slope heuristic ...

This paper develops an empirical macroeconomic framework to analyze the relationship between major political disruptions and business cycles of a country. We combine a new dataset of political revolutions (mass domestic political campaigns to remove dictators and juntas) across the world since 1960, with coup data and traditional macro data (of output, investment, trade, inflation and exchange ...

Recessions are associated with increases in uncertainty. This paper shows that a simple model of creative destruction, in which new productive businesses push out old obsolete ones, produces increases in measured uncertainty during recessionary periods even without time-variation in second moments of exogenous shocks. Moreover, the suggested channel is also borne out by the data. Using an estab...

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] Abstract  Previously it has been proposed that explanations of non-traditional withdrawal might be defined by the underlying characteristics of the teaching and learn...

Abstract. Ingesting near-real-time observation data is a critical component of many operational hydrological forecasting systems. In this paper, we compare two strategies for ingesting streamflow observations into long short-term memory (LSTM) rainfall–runoff models: autoregression (a forward method) and variational assimilation. Autoregression both more accurate computationally efficient than ...

We illustrate several recent results on efficient estimation for semiparametric time series models with two types of AR(1) models: having independent and centered innovations, and having general and conditionally centered innovations. We consider in particular estimation of the autoregression parameter, the stationary distribution, the innovation distribution, and the stationary density.