Journal of the Royal Statistical Society. Series A (Statistics in Society), Vol. 182, No. 3 (2019), pp. 831-861 (31 pages) The paper develops a global vector auto-regressive model with time varying ...

This paper shows that vector auto regression (VAR) with Bayesian shrinkage is an appropriate tool for large dynamic models. We build on the results of De Mol and co-workers (2008) and show that, when ...

Dr. James McCaffrey from Microsoft Research presents a complete end-to-end demonstration of the linear support vector regression (linear SVR) technique, where the goal is to predict a single numeric ...

The analysis is based on a single-equation model, completed by a structural vector auto regression model to capture inflation persistence. The results show that the main determinants of inflation in ...

This paper shows that vector auto regression (VAR) with Bayesian shrinkage is an appropriate tool for large dynamic models. We build on the results of De Mol and co-workers (2008) and show that, when ...

This paper constructs a financial conditions index for Poland to explore the link between financial conditions and real economic activity. The index in constructed by applying two complementary ...

Abstract This paper investigates spillovers between electricity supply shocks and US growth, using monthly data from forty-eight US states from January 2001 to September 2016, and employs a novel ...

The model used is known as a vector auto-regression, which has been used here to look at the effect of "uncertainty" on issues such as business investment and household borrowing on economic ...