Seasonal quasi-vector autoregressive models for macroeconomic data

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Show simple item record Blazsek, Szabolcs Escribano, Álvaro Licht, Adrian
dc.contributor.editor Universidad Carlos III de Madrid. Departamento de Economía 2018-03-05T12:56:28Z 2018-03-05T12:56:28Z 2018-02-15
dc.identifier.issn 2340-5031
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.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
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