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Markov-switching score-driven multivariate models: outlier-robust measurement of the relationships between world crude oil production and US industrial production

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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.contributor.funderComunidad de Madrides
dc.contributor.funderMinisterio de Economía y Competitividad (España)es
dc.date.accessioned2019-10-15T16:02:35Z
dc.date.available2019-10-15T16:02:35Z
dc.date.issued2019-10
dc.description.abstractIn this paper, new Seasonal-QVAR (quasi-vector autoregressive) and Markov switching (MS) Seasonal-QVAR (MS-Seasonal-QVAR) models are introduced. Seasonal-QVAR is an outlierrobust score-driven state space model, which is an alternative to classical multivariate Gaussian models (e.g. basic structural model; Seasonal-VARMA). Conditions of the maximum likelihood estimator and impulse response functions are shown. Dynamic relationships between world crude oil production and US industrial production are studied for the period of 1973 to 2019. Statistical performances of alternative models are analyzed. MS-Seasonal-QVAR identies structural changes and extreme observations in the dataset. MS-Seasonal-QVAR is superior to Seasonal-QVAR and, and both are superior to Gaussian alternatives.en
dc.description.sponsorshipEscribano acknowledges funding from the Ministry of Economics of Spain (ECO2016-00105-001, MDM 2014-0431) and the Community of Madrid (MadEco-CM S2015/HUM-3444).en
dc.identifier.issn2340-5031es
dc.identifier.urihttps://hdl.handle.net/10016/29030
dc.identifier.uxxiDT/0000001731es
dc.language.isoeng
dc.relation.ispartofseriesWorking paper. Economicsen
dc.relation.ispartofseries19-16es
dc.relation.projectIDGobierno de España. ECO2016-00105-001es
dc.relation.projectIDGobierno de España. 2014-0431es
dc.relation.projectIDComunidad de Madrid. S2015/HUM-3444es
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.jelC32es
dc.subject.jelC51es
dc.subject.jelC52es
dc.subject.otherWorld Crude Oil Productionen
dc.subject.otherUnited States Industrial Productionen
dc.subject.otherDynamic Conditionalen
dc.subject.otherScore Modelsen
dc.subject.otherScore-Driven Multivariate Stochastic Location And Stochastic Seasonality Modelsen
dc.subject.otherMarkov Regime-Switching Modelsen
dc.titleMarkov-switching score-driven multivariate models: outlier-robust measurement of the relationships between world crude oil production and US industrial productionen
dc.typeworking paper*
dc.type.hasVersionAO*
dspace.entity.typePublication
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