Vector Autoregression (VAR) is a statistical model used to capture the linear interdependencies among multiple time series data. It generalizes the univariate autoregressive model to multiple time ...
This repository contains the code and data used to obtain simulation study and applications results for "NIRVAR: Network Informed Restricted Vector Autoregression ...
Abstract: This paper presents macroeconomic forecasting by using a time-varying Bayesian compressed vector autoregression approach. We apply a random compression by using projection matrix to randomly ...
Abstract: This paper presents macroeconomic forecasting by using a time-varying Bayesian compressed vector autoregression approach. We apply a random compression by using projection matrix to randomly ...
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