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

DOI10.15559/15-VMSTA25zbMATH Open1359.62364arXiv1506.01984OpenAlexW3104820075MaRDI QIDQ340759FDOQ340759

Authors: Luca Di Persio, Chiara Segala 

Publication date: 15 November 2016

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

Abstract: The present work constitutes the second part of a two-paper project that, in particular, deals 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. It is worth mentioning that this region is indubitably recognized as the core of the commercial engine of the whole Italian country. This is why our analysis has a concrete impact; it is based on real data, and this is also the reason why particular attention has been taken in treating the relevant economical data and in choosing the right methods to manage them to obtain good forecasts. In particular, we develop an approach mainly based on vector autoregression where lagged values of two or more variables are considered, Granger causality, and the stochastic trend approach useful to work with the cointegration phenomenon.

Full work available at URL: https://arxiv.org/abs/1506.01984

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zbMATH Keywords

cointegrationGranger causalityautoregressive modelseconometrics 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?)
• Autoregressive approaches to import-export time series. I: Basic techniques
• Title not available (Why is that?)
• Introduction to modern time series analysis

Cited In (1)

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

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