Seasonal quasi-vector autoregressive models for macroeconomic data

Blazsek, Szabolcs; Escribano, Álvaro; Licht, Adrian

dc.contributor.author	Blazsek, Szabolcs
dc.contributor.author	Escribano, Álvaro
dc.contributor.author	Licht, Adrian
dc.contributor.editor	Universidad Carlos III de Madrid. Departamento de Economía
dc.date.accessioned	2018-03-05T12:56:28Z
dc.date.available	2018-03-05T12:56:28Z
dc.date.issued	2018-02-15
dc.identifier.issn	2340-5031
dc.identifier.uri	http://hdl.handle.net/10016/26316
dc.description.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
dc.description.sponsorship	We 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).
dc.format.mimetype	application/pdf
dc.language.iso	eng
dc.relation.ispartofseries	UC3M Working papers Economics
dc.relation.ispartofseries	18-03
dc.rights	Atribución-NoComercial-SinDerivadas 3.0 España
dc.rights.uri	http://creativecommons.org/licenses/by-nc-nd/3.0/es/
dc.subject.other	Dynamic conditional score (DCS) models
dc.subject.other	Score-driven stochastic seasonality
dc.subject.other	Nonlinear multivariate dynamic location models
dc.subject.other	Basic structural model
dc.subject.other	Vector autoregressive (VAR) model
dc.subject.other	Vector autoregressive moving average (VARMA) model
dc.subject.other	Crude oil production
dc.title	Seasonal quasi-vector autoregressive models for macroeconomic data
dc.type	workingPaper
dc.subject.jel	C32
dc.subject.jel	C52
dc.rights.accessRights	openAccess
dc.relation.projectID	Comunidad de Madrid. S2015/HUM-3444/MADECO-CM
dc.relation.projectID	Gobierno de España. ECO2016-00105-001
dc.relation.projectID	Gobierno de España. MDM 2014-0431
dc.type.version	draft
dc.identifier.uxxi	DT/0000001605