The paper analyzes cointegration in vector autoregressive processes (VARs) for the cases when both number of coordinates, N, and time periods, T, are large same order. We propose a way to examine VAR order 1 presence based on modification Johansen likelihood ratio test. advantage our procedure over original test its finite sample corrections is that does not suffer from overrejection. This achi...

The paper proposes a structural approach to VAR analysis in panels, which takes into account responses to both idiosyncratic and common structural shocks, while permitting full cross member heterogeneity of the response dynamics. In the context of this structural approach, estimation of the loading matrices for the decomposition into idiosyncratic versus common shocks is straightforward and tra...

Abstract The Variogram Analysis of Response Surfaces (VARS) has been proposed by Razavi and Gupta as a new comprehensive framework in sensitivity analysis. According to these authors, VARS provides more intuitive notion is much computationally efficient than Sobol’ indices. Here we review arguments critically compare the performance VARS-TO, for total-order index, against Jansen estimator. We a...

The vector autoregression (VAR), has long proven to be an effective method for modeling the joint dynamics of macroeconomic time series as well as forecasting. One of the major disadvantages of the VAR that has hindered its applicability is its heavy parameterization; the parameter space grows quadratically with the number of series included, quickly exhausting the available degrees of freedom....

F ollowing seminal work by Sims (1980a, 1980b), the economics profession has become increasingly concerned with studying sources of economic fluctuations. Sims’s use of vector autoregressions (VARs) made it possible to address both the relative importance and the dynamic effect of various shocks on macroeconomic variables. This type of empirical analysis has had at least two important consequen...

This paper investigates the commonly overlooked “sensitivity” of sensitivity analysis (SA) to what we refer to as parameter “perturbation scale”, which can be defined as a prescribed size of the sensitivityrelated neighbourhood around any point in the parameter space (analogous to step size Dx for numerical estimation of derivatives). We discuss that perturbation scale is inherent to any (local...

AIM This study aims to describe and compare the spectrum, course, seasonality and outcome of children with virus-associated respiratory symptoms (VARS) admitted to two paediatric intensive care units (PICUs) in the United Kingdom (UK) and South Africa (SA). METHODS Cross-sectional study of routinely collected data on subjects admitted to PICU with respiratory symptoms and positive respiratory...

It is difficult to find an existing single model which is able to simultaneously model exceedances over thresholds in multivariate financial time series. A new modeling approach, which is a combination of max-stable processes, GARCH processes, and Markov processes, is proposed. Combining Markov processes and max-stable processes defines a new statistical model which has the flexibility of model...

In many online shopping applications, traditional Association Rule (AR) mining has limitations as it only deals with the items that are sold but ignores the items that are almost sold. For example, those items that are put into the basket but not checked out. We say that those almost sold items carry hesitation information since customers are hesitating to buy them. The hesitation information o...