A Local Vector Autoregressive Framework and its Applications to Multivariate Time Series Monitoring and Forecasting

Ying Chen, Bo Li and Linlin Niu

No 2013-12-05, Working Papers from Wang Yanan Institute for Studies in Economics (WISE), Xiamen University

Abstract: Our proposed local vector autoregressive (LVAR) model has time-varying parameters that allow it to be safely used in both stationary and non-stationary situations. The estimation is conducted over an interval of local homogeneity where the parameters are approximately constant. The local interval is identified in a sequential testing procedure. Numerical analysis and real data application are conducted to illustrate the monitoring function and forecast performance of the proposed model.

Keywords: Adaptive estimation; Multivariate time series; Non-stationarity; Yield curve (search for similar items in EconPapers)
JEL-codes: C32 C53 E43 E47 (search for similar items in EconPapers)
Date: 2013-12-05
New Economics Papers: this item is included in nep-ecm, nep-for, nep-mac and nep-ore
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Citations: View citations in EconPapers (1)

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