In this paper we propose a mixture global vector autoregressive model with exogenous variables to study country/region interdependencies that exist between national and international variables in the world economy. This model generalizes the linear one introduced by Pesaran et al. (Journal of Business & Economic Statistics 22(2):129–162, 2004) taking into account the possibility of contagion effects. Then, we give a complete solution of the above mixture global model, discuss its stability properties, and provide a likelihood-based analysis of the country/region specific models. Finally, a simulation experiment is presented to demonstrate the utility of the proposed algorithm and the nature of the problems under consideration.
LIKELIHOOD-BASED ANALYSIS IN MIXTURE GLOBAL VARs / Cavicchioli, Maddalena. - In: JOURNAL OF MATHEMATICAL SCIENCES. - ISSN 1072-3374. - 271:3(2023), pp. 341-353. [10.1007/s10958-023-06509-8]
LIKELIHOOD-BASED ANALYSIS IN MIXTURE GLOBAL VARs
Cavicchioli, Maddalena
2023
Abstract
In this paper we propose a mixture global vector autoregressive model with exogenous variables to study country/region interdependencies that exist between national and international variables in the world economy. This model generalizes the linear one introduced by Pesaran et al. (Journal of Business & Economic Statistics 22(2):129–162, 2004) taking into account the possibility of contagion effects. Then, we give a complete solution of the above mixture global model, discuss its stability properties, and provide a likelihood-based analysis of the country/region specific models. Finally, a simulation experiment is presented to demonstrate the utility of the proposed algorithm and the nature of the problems under consideration.File | Dimensione | Formato | |
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