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Seasonal quasi-vector autoregressive models for macroeconomic data

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dc.affiliation.dptoUC3M. Departamento de Economíaes
dc.contributor.authorBlazsek, Szabolcs
dc.contributor.authorEscribano, Álvaro
dc.contributor.authorLicht, Adrian
dc.contributor.editorUniversidad Carlos III de Madrid. Departamento de Economíaes
dc.date.accessioned2018-03-05T12:56:28Z
dc.date.available2018-03-05T12:56:28Z
dc.date.issued2018-02-15
dc.description.abstractWe introduce the Seasonal-QVAR (quasi-vector autoregressive) model for world crude oil production and global real economic activity that identifies the hidden seasonality not found in linear VAR and VARMA models. World crude oil production has an annual seasonality component, and global real economic activity as measured by ocean freight rates has a six-month seasonality component.Seasonal-QVAR is a dynamic conditional score (DCS) model for the multivariate t distribution.Seasonal-VARMA and Seasonal-VAR are special cases of Seasonal-QVAR, this latter being superior to the two former models and also superior to the basic structural model with local level and stochastic seasonality componentsen
dc.description.sponsorshipWe are thankful to Luc Bauwens, Matthew Copley, Eric Ghysels, Joachim Grammig, Andrew Harvey, Eric Renault, Genaro Sucarrat and GESG seminar participants at Universidad Francisco Marroquín (December 7, 2017) for all help, comments and suggestions. Szabolcs Blazsek and Adrian Licht acknowledge funding from Universidad Francisco Marroquín. Alvaro Escribano acknowledges funding from Ministerio de Economía, Industria y Competitividad (ECO2016-00105-001 and MDM 2014-0431), and Comunidad de Madrid (MadEco-CM S2015/HUM-3444).en
dc.format.mimetypeapplication/pdf
dc.identifier.issn2340-5031
dc.identifier.urihttps://hdl.handle.net/10016/26316
dc.identifier.uxxiDT/0000001605
dc.language.isoeng
dc.relation.ispartofseriesUC3M Working papers Economics
dc.relation.ispartofseries18-03
dc.relation.projectIDComunidad de Madrid. S2015/HUM-3444/MADECO-CM
dc.relation.projectIDGobierno de España. ECO2016-00105-001
dc.relation.projectIDGobierno de España. MDM 2014-0431
dc.rightsAtribución-NoComercial-SinDerivadas 3.0 España
dc.rights.accessRightsopen access
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/3.0/es/
dc.subject.jelC32
dc.subject.jelC52
dc.subject.otherDynamic conditional score (DCS) modelsen
dc.subject.otherScore-driven stochastic seasonalityen
dc.subject.otherNonlinear multivariate dynamic location modelsen
dc.subject.otherBasic structural modelen
dc.subject.otherVector autoregressive (VAR) modelen
dc.subject.otherVector autoregressive moving average (VARMA) modelen
dc.subject.otherCrude oil productionen
dc.titleSeasonal quasi-vector autoregressive models for macroeconomic dataen
dc.typeworking paper*
dc.type.hasVersionAO*
dspace.entity.typePublication
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