The Recursive Fitting of Subset VARX Models - Financial and Economic Forecasting (Chapter 8)
23 Pages Posted: 24 Feb 2003
Date Written: October 2002
Abstract
A vector time series model of the form A(L)y(t)+B(L)x(t)=e(t), is known as a vector autoregressive model with exogenous variables (VARX model) and involves a regressand vector y(t) and a regressor vector x(t). This chapter provides a method for the recursive fitting of subset VARX models. It suggests the use of ascending recursions in conjunction with an order selection criterion to choose an 'optimum' subset VARX model.
Keywords: Recursive Fitting, Time Series, VARX Models
JEL Classification: C22, C53, E31
Suggested Citation: Suggested Citation
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