Reducing the state space dimension in a large TVP-VAR
Sign Up to like & getrecommendations! Published in 2020 at "Journal of Econometrics"
DOI: 10.1016/j.jeconom.2019.11.006
Abstract: Abstract This paper proposes a new approach to estimating high dimensional time varying parameter structural vector autoregressive models (TVP-SVARs) by taking advantage of an empirical feature of TVP-(S)VARs. TVP-(S)VAR models are rarely used with more… read more here.
Keywords: state; state space; reducing state; tvp var ... See more keywords
Economic Policy Uncertainty (EPU) and China's Export Fluctuation in the Post-pandemic Era: An Empirical Analysis based on the TVP-SV-VAR Model
Sign Up to like & getrecommendations! Published in 2021 at "Frontiers in Public Health"
DOI: 10.3389/fpubh.2021.788171
Abstract: In the COVID-19 pandemic, the bidirectional policy adopted by the governments to stimulate domestic economy and reinforce foreign trade control is making the trade environment abnormally complex. China is facing a new challenge in export… read more here.
Keywords: export; china export; tvp var; epu china ... See more keywords