The Recursive Fitting of Subset VARX Models - Financial and Economic Forecasting (Chapter 8)
Posted: 17 Apr 2003
A vector autoregressive model with exogenous variables (VARX model) 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: Keywords: Recursive Fitting, Time Series, VARX Models
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