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

Id：2208 Date：20131205 Status：published ClickTimes：
作者Ying Chen, Bo Li, Linlin Niu
正文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.
JEL-Codes：C32, C53, E43, E47
关键词：Adaptive estimation; Multivariate time series; Non-stationarity; Yield curve
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