The model assumed is first-order autoregressive with contemporaneous correlation between cross sections. In this model, the covariance matrix for the vector of random errors u can be expressed as A ...
Journal of the Royal Statistical Society. Series B (Statistical Methodology), Vol. 79, No. 2 (MARCH 2017), pp. 507-524 (18 pages) Most time series that are encountered in practice contain non-zero ...
Spatial econometrics addresses the challenges posed by spatially correlated data, enabling researchers to understand and quantify how economic phenomena in one location can influence those in ...
This is a preview. Log in through your library . Abstract This paper derives the explicit expressions for the determinant and exact inverse of the covariance matrix of a multivariate autoregressive ...
To capture the "long-memory" effect in volatility, a multiplicative component conditional autoregressive range (MCCARR) model is proposed. We show theoretically that the MCCARR model can capture the ...
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