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Seasonal quasi-vector autoregressive models for macroeconomic data

Szabolcs Blazsek (), Adrian Licht and Alvaro Escribano ()

UC3M Working papers. Economics from Universidad Carlos III de Madrid. Departamento de Economía

Abstract: 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

Keywords: Dynamic; conditional; score; (DCS); models; Score-driven; stochastic; seasonality; Nonlinear; multivariate; dynamic; location; models; Basic; structural; model; Vector; autoregressive; (VAR); model; Vector; autoregressive; moving; average; (VARMA); model; Crude; oil; production (search for similar items in EconPapers)
JEL-codes: C32 C52 (search for similar items in EconPapers)
Date: 2018-02-15
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-mac
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Persistent link: https://EconPapers.repec.org/RePEc:cte:werepe:26316

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