RT Generic
T1 Seasonal quasi-vector autoregressive models for macroeconomic data
A1 Blazsek, Szabolcs
A1 Escribano, Álvaro
A1 Licht, Adrian
A2 Universidad Carlos III de Madrid. Departamento de Economía, 
AB 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
SN 2340-5031
YR 2018
FD 2018-02-15
LK https://hdl.handle.net/10016/26316
UL https://hdl.handle.net/10016/26316
LA eng
NO We are thankful to Luc Bauwens, Matthew Copley, Eric Ghysels, Joachim Grammig, Andrew Harvey, Eric Renault, GenaroSucarrat and GESG seminar participants at Universidad Francisco Marroquín (December 7, 2017) for all help, comments andsuggestions. Szabolcs Blazsek and Adrian Licht acknowledge funding from Universidad Francisco Marroquín. Alvaro Escribanoacknowledges funding from Ministerio de Economía, Industria y Competitividad (ECO2016-00105-001 and MDM 2014-0431),and Comunidad de Madrid (MadEco-CM S2015/HUM-3444).
DS e-Archivo
RD 16 jul. 2024