Subset selection of autoregressive time series models

Article Abstract:

Issues concerning the selection of subsets for the analysis of time series using autoregressive models are discussed. A Bayesian approach is adopted and promising subsets identified using a Gibbs sampler, a Markov chain Monte CArlo (MCMC) procedure.

Usage, Bayesian statistical decision theory, Bayesian analysis, Statistics, Statistics (Data), Time-series analysis, Time series analysis

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Monthly data and short-term forecasting: an assessment of monthly data in a VAR model

Article Abstract:

Issues concerning short term economic forecasting are discussed. A method of determining vector autoregression using estimated gross domestic product (GDP) on a monthly basis is presented.

Measurement, Gross domestic product

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Testing for short term memory in a VARMA process

Article Abstract:

Issues concerning the use of vector autoregressive moving average processes are discussed. The short memory can be extended by use of a multivariate setting.

Multivariate analysis

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