Search results with tag "Vector autoregression"
DO FISCAL DEFICITS RAISE INTEREST RATES IN …
www.jaqm.roQuantitative Methods Inquires 306 DO FISCAL DEFICITS RAISE INTEREST RATES IN NIGERIA? A VECTOR AUTOREGRESSION APPROACH Ben OBI1 PhD, Department of Economics, University of Abuja, Nigeria
Vector Autoregressions - Princeton University
www.princeton.eduPanel A of Table 1 summarizes the Granger-causality results for the three-variable VAR. It shows the p-values associated with the Fstatistics for testing whether the relevant sets of coefficients are zero. The unemployment rate helps to predict inflation at the 5 percent significance level (the p-value is 0.02, or 2 percent), but the federal ...
Vector Autoregression Analysis: Estimation and Interpretation
economics.utoronto.caTime Series, John Wiley & Sons, 1995, pp. 291{353 and earlier material as required, Helmut Lutk˜ epohl, Introduction to Multiple Time Series Analysis, Springer-Verlag, 1991, pp. 9{27, 43{58, and 97{117, and James D. Hamil-ton, Time Series Analysis, Princeton University Press, 1994, pp. 257{372 and earlier material as required.