This paper considers VAR models incorporating many time series that interact through a few dynamic factors. Several econometric issues are addressed including estimation of the number of dynamic factors and tests for the factor restrictions imposed on the VAR. Structural VAR identification based on timing restrictions, long run restrictions, and restrictions on factor loadings are discussed and...

An important question in macroeconomics is how government policies affect the cconomy. The fact that this question is still being debated forty-three years after John Maynard Keynes wrote The General Theory and thirty-nine years after Jan Tinbergen did his pioneering econometric study of business cycles for the League of Nations indicates the difficulty of answering it. Although it is easy to c...

Even though forecasting methods have advanced in the last few decades, economists still face a simple question: which prediction method gives most accurate results? Econometric can deal with different types of time series and good results, but specific cases, they may fail to provide predictions. Recently, new techniques borrowed from soft computing area were adopted for economic forecasting. S...

harmonics have become an important issue in modern power systems. the widespread penetration of non-linear loads to emerging power systems has turned power quality analysis into an important operation issue under both steady state and transient conditions. this paper employs an extended harmonic domain (ehd) based framework for dynamic analysis of long term analysis over voltages during the tra...

the program menyanthes combines a variety of functions for managing, editing, visualizing, analyzing, and modeling hydrogeologic time series. the primary aim of the software is the integration of data-driven and physics-based methods for modeling time series of groundwater heads. within menyanthes, time series can be modeled using both the arma and pirfict methods. the pirfict method is a new m...

We discuss the development of dynamic factor models for multivariate financial time series, and the incorporation of stochastic volatility components for latent factor processes. Bayesian inference and computation is developed and explored in a study of the dynamic factor structure of daily spot exchange rates for a selection of international currencies. The models are direct generalizations of...

This paper introduces the application of mean-variance portfolio theory to portfolios generating multiple forms of energy such as electricity, heating or cooling power. Portfolio theory has already been successfully applied to several cases of electricity generation planning. A general extension of this method to an arbitrary number of output energies will be developed in this paper. Instead of...

The purpose – Accurately forecasting the demand for international health tourism is important to newly-emerging markets in the world. The aim of this study was presents a more suitable and accurate model for forecasting the demand for health tourism that should be more theoretically useful. Design – Applying GM(1,1) with adaptive levels of α (hereafter GM(1,1)-α model) to provide a concise pred...

In the last ten years, several new piece-wise linear analytical methods have been developed and applied to problems of prediction and function approximation with marked improvement over traditional methods. This progress is important for applications in any field which have in the past used standard linear procedures or their variations. These new procedures should be considered wherever one mi...