Publication: Seasonal quasi-vector autoregressive models for macroeconomic data
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2018-02-15
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Abstract
We 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 components
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Dynamic conditional score (DCS) models, Score-driven stochastic seasonality, Nonlinear multivariate dynamic location models, Basic structural model, Vector autoregressive (VAR) model, Vector autoregressive moving average (VARMA) model, Crude oil production