In this paper, we extend the Bayesian Proxy vector autoregression (VAR) model to incorporate time variation in parameters. A novel Metropolis-within-Gibbs sampling algorithm is provided approximate posterior distributions of model's Using proposed algorithm, estimate time-varying effects taxation shocks United States and Kingdom find evidence for a decline impact these on output growth.

The paper examines the effect of exchange rate changes on consumer prices in Ghana using vector autoregression (VAR) models. Using a data set covering the period 1990M01–2009M02, we find that the exchange rate pass-through to inflation is ‘incomplete’ and decreasing in Ghana. Our empirical results indicate a low but significant pass-through in the short run. We argue that the findings reflect t...

Modeling and Estimation of High-dimensional Vector Autoregressions by Sumanta Basu Chair: George Michailidis Vector Autoregression (VAR) represents a popular class of time series models in applied macroeconomics and finance, widely used for structural analysis and simultaneous forecasting of a number of temporally observed variables. Over the years it has gained popularity in the fields of cont...

Estimating structural state space models with maximum likelihood is often infeasible. If the model can be expressed as a reduced form vector-autoregression (VAR) in the observable data, then two step techniques such as minimum chi-square estimation can reliably recover structural parameter estimates. However, macroeconomists cannot always rely on the existence of a VAR reduced form – as is ofte...

Renewable energy forecasting is a key for efficient resource use in terms of power generation and safe grid control. In this study, we investigated short-term statistical model with 1 to 3 h horizons using photovoltaic operation data from 215 plants throughout South Korea. A vector autoregression (VAR) model-based regional system proposed seven clusters This method showed better predictability ...

This paper examines the sectoral and intertemporal impacts of international emigrant remittances by using a vector auto-regression (VAR) estimation focusing on Cambodia, Lao PDR, Myanmar and Vietnam (CLMV countries). The reason for targeting the CLMV countries is that they have still depended largely on remittance-earnings from their emigrant workers in their economies, and that the macroeconom...

Many past studies documented a strong evidence of a linkage between stock prices and macroeconomic activities across different stock markets and time horizons. However, most of these studies have focused on developed economies and highlighted the impact of either domestic variables or a few global factors. In recent times, the impact of global macroeconomic factors upon stock returns has garner...

This study employs a nonlinear vector autoregression (VAR) model and quantile-based analysis to examine the effects of financial stress index (FSI) developed countries exchange market pressure (EMPI) on USD-denominated yield spreads Poland, Mexico, South Africa. It was found by VAR that increases/decreases in FSI EMPI raise/lower each emerging country. Although different results are obtained am...

The symptom courses of 84 schizophrenia patients (mean age: 24.4 years; mean previous admissions: 1.3; 64% males) of a community-based acute ward were examined to identify dynamic patterns of symptoms and to investigate the relation between these patterns and treatment outcome. The symptoms were monitored by systematic daily staff ratings using a scale composed of three factors: psychoticity, e...