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 ...

A mismatch between the timescale of a structural vector auto-regressive model and that of the time series data used for its estimation can have serious consequences for identification, estimation and ...

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 ...

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 ...

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 ...

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 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 ...