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

DOI10.15559/15-VMSTA22MaRDI QIDQ340757zbMATH OpenOpenAlexFDO

Authors Luca Di Persio

Publication date 15 November 2016

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

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

zbMATH Keywords

AIC and BIC criteriaautoregressive modelscointegrationeconometrics time seriesGranger causalitystochastic nonstationaritytrends and breaks

Mathematics Subject Classification ID

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

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.

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Cites work

• scientific article; zbMATH DE number 1681730 (Why is no real title available?)
• scientific article; zbMATH DE number 1222369 (Why is no real title available?)
• 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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