Weighting schemes in global VAR modelling: a forecasting exercise
نویسندگان
چکیده
منابع مشابه
Weighting schemes in global VAR modelling: a forecasting exercise
We provide a comprehensive analysis of the out-of-sample predictive accuracy of different global vector autoregressive (GVAR) specifications based on alternative weighting schemes to address global spillovers across countries. In addition to weights based on bilateral trade, we entertain schemes based on different financial variables and geodesic distance. Our results indicate that models based...
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ژورنال
عنوان ژورنال: Letters in Spatial and Resource Sciences
سال: 2016
ISSN: 1864-4031,1864-404X
DOI: 10.1007/s12076-016-0170-x