Under modern approach Vector Autoregressive
models (VAR) are presented.
The coefficient [lambda] is a scalar parameter that determines the average strength of association among the states, and is known as the spatial autoregressive
coefficient which has a value between -1 and +1.
Our research will be different from Adaramola's by employing battery time series techniques such as autoregressive
distributed lag (ARDL) model, variance decomposition (VDCs) and impulse response functions (IRFs) and covering period from 1984-2013.
This Chapter deals with the interplay between competitive equilibria and autoregressive
In modelling such relationships, several models are developed adopting an economic and finance framework known as Vector Autoregressive
(VAR) approach together with Granger Causality test.
An invertibility requirement, whereby the moving average equation can be recast into an autoregressive
form also constrains the moving average parameters.
ARIMA models popularized by George Box and Gwilym Jenkins in the 1970s integrated Autoregressive
(AR) and Moving Average (MA) and formulated the most suitable method for forecasting.
Reference (8) presented modified control limits for maintaining control of a process, when the data were assumed to be dependent and following a second order autoregressive
process (AR(2) model).
The other way is to use conditional standard deviations obtained from the Generalized Autoregressive
Conditional Heteroskedasticity (GARCH) model (e.
The Vector Autoregression (VAR) model is an extension of the univariate autoregressive
(AR) model to dynamic multivariate time series and it captures the linear interdependencies among multiple time series.
The long run relationship between banking retail rates and the policy rate is investigated using threshold autoregressive
(TAR) and momentum threshold autoregressive
3) In models such as ours, which are vector autoregressive
and estimated with Bayesian methods, the past level of the federal funds rate has considerable explanatory power for the current level.