After computing the sample autocovariance matrices, PROC STATESPACE fits a sequence of vector autoregressive models. These preliminary autoregressive models are used to estimate the autoregressive ...

The vector autoregressive model has long been used for portfolio analysis, while a recent extension (VARX) incorporates exogenous factors. Despite its increased forecasting precision, the ...

In the policy debate over the Japanese macroeconomic performance, the impact of exchange rate fluctuations on Japan's exports has received considerable attention. However, if we take the period from ...

The paper examines the effect of exchange rate changes on consumer prices in Tanzania using structural vector autoregression (VAR) models. Using a data set covering the period 1990-2005, we find that ...

The author is editorial writer and columnist for The Economic Times. If you have to forecast, forecast often, noted a consummate policy whiz some decades ago, at a time when there was marked ...

In the heat of severe global macroeconomic volatility, monetary authorities in the developing world are faced with the challenge of identifying the sources of such volatilities in their countries.