Autoregressive approaches to import-export time series. I: Basic techniques

DOI10.15559/15-VMSTA22zbMATH Open1359.62363arXiv1506.02940OpenAlexW3105961747MaRDI QIDQ340757FDOQ340757

Authors: Luca Di Persio 

Publication date: 15 November 2016

Published in: Modern Stochastics. Theory and Applications (Search for Journal in Brave)

Abstract: This work is the first part of a project dealing with an in-depth study of effective techniques used in econometrics in order to make accurate forecasts in the concrete framework of one of the major economies of the most productive Italian area, namely the province of Verona. In particular, we develop an approach mainly based on vector autoregressions, where lagged values of two or more variables are considered, Granger causality, and the stochastic trend approach useful to work with the cointegration phenomenon. Latter techniques constitute the core of the present paper, whereas in the second part of the project, we present how these approaches can be applied to economic data at our disposal in order to obtain concrete analysis of import--export behavior for the considered productive area of Verona.

Full work available at URL: https://arxiv.org/abs/1506.02940

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zbMATH Keywords

cointegrationGranger causalityautoregressive modelsAIC and BIC criteriaeconometrics time seriesstochastic nonstationaritytrends and breaks

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• Introduction to modern time series analysis

Cited In (1)

• Autoregressive approaches to import-export time series. II: A concrete case study

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