Generalized Impulse Response Analysis in a Fractionally Integrated Vector Autoregressive Model

2011 ◽  
Author(s):  
Hung Xuan Do ◽  
Robert Darren Brooks ◽  
Sirimon Treepongkaruna
Keyword(s):  
Impulse Response ◽  
Autoregressive Model ◽  
Response Analysis ◽  
Vector Autoregressive Model ◽  
Vector Autoregressive ◽  
Impulse Response Analysis

scholarly journals Exports as a Determinant of Inflation in Kenya: Disaggregated Econommetric Analysis

2017 ◽  
Vol 13 (10) ◽  
pp. 417
Author(s):  
Evans Ovamba Kiganda ◽  
Scholastica Adhiambo ◽  
Nelson Obange
Keyword(s):  
Time Series ◽  
Central Bank ◽  
Granger Causality ◽  
Impulse Response ◽  
Response Analysis ◽  
Vector Autoregressive ◽  
Impulse Response Analysis ◽  
Long Run ◽  
The Government ◽  
The Relationship

The purpose of this study was to examine exports as a determinant of inflation in Kenya: A disaggregated econometric analysis with specific objectives of establishing the relationship between domestic exports and inflation in Kenya and determining the relationship between re - exports and inflation in Kenya. This was occasioned by inconclusive and incomprehensive analysis on the relationship between exports and inflation given mixed results and failure by scholars to disaggregate total exports into domestic exports and re-exports. Correlation research design was employed using monthly time series obtained from Central Bank of Kenya (CBK) data spanning 132 months from January 2005 to December 2015.Vector Autoregressive (VAR) techniques of cointegration, Granger causality and impulse response analysis were employed. Results indicated a significant positive and negative long run relationship between domestic exports and re- exports with inflation in Kenya respectively that were supported by the impulse response analysis. A unidirectional causality running from domestic exports to inflation and re-exports to inflation was also established. The study concluded that domestic exports and re-exports determine inflation in Kenya with domestic exports having greater influence and therefore recommended that the government of Kenya needs to advocate for a trade policy that aims at reducing exports of domestically produced products and increase re-exports. This will ensure that only surplus is exported to reduce shortage of domestically produced commodities hence a reduction in price for the products.

scholarly journals PENGELUARAN PEMERINTAH DI MALUKU: ANALISIS VECTOR AUTOREGRESSIVE

2019 ◽  
Vol 4 (1) ◽  
Author(s):  
Jacobus Cliff Diky Rijoly
Keyword(s):  
Time Series ◽  
Impulse Response ◽  
Response Function ◽  
Autoregressive Model ◽  
Impulse Response Function ◽  
Variance Decomposition ◽  
Vector Autoregressive Model ◽  
Vector Autoregressive

 Pada tahun 1999 pemerintah Indonesia mengimplementasikan peraturan mengenai otonomi daerah, dampak langsung dari implementasi ini adalah setiap provinsi harus mampu mengembangkan pembangunan ekonomi di daerahnya sendiri. Hal ini juga terjadi di Maluku, peningkatan APBD (Anggaran Pendapatan dan Belanja Daerah), yang seharusnya menjadi instrument peningkatan pertumbuahan ekonomi di Maluku. Tapi, faktanya Maluku masih menjadi daerah termiskin ke 4 di Indonesia dan memiliki tingkat pengangguran paling tinggi di Indonesia. Efektifitas realisasi anggaran di duga menjadi permasalahan utama. Sesuai dengan data BPS Maluku mayoritas dari pengeluaran pemerintah yang ada digunakan sebagai pengeluaran/ belanja rutin (83.4%) dan sisanya (29.68%) diganakan sebagai belanja/ pengeluaran Modal, yang seharusnya di gunakan untuk mendorong akselerasi pertumbuhan ekonomi.Penelitian ini menggunakan VAR (Vector Autoregressive) model, untuk mengukur efek daro pengeluaran pemerintah terhadap pertumbuhan ekonomi Maluku, data yang di gunakan dalam penelitian ini menggunakan data time series dari tahun 1997-2016 yang besumber dati BPS Maluku.Hasil penelitian menunjukan bahwa pengeluaran pemerintah di tentukan oleh berbagai variabel diantaranya variabel eksogen (Kebijakan Pemerintah Melalui Penerimaan Migas maupun Non-Migas) serta variabel endogen ( PDB dan Pembentukan Modal Tetap). Hasil lain yang menggunakan instrument Impulse Response Function dan Analisis Variance Decomposition seluruh variable dalam jangka pendek dan jangka Panjang memiliki pengaruh positif terhadap Pengeluaran Pemerintah di Maluku.

scholarly journals A Spatial Panel Structural Vector Autoregressive Model with Interactive Effects and Its Simulation

Mathematics ◽  
2021 ◽  
Vol 9 (8) ◽  
pp. 883
Author(s):  
Yaqing Liu ◽  
Hongbing Ouyang ◽  
Xiaolu Wei
Keyword(s):  
Autoregressive Model ◽  
Common Factors ◽  
Interactive Effects ◽  
Vector Autoregressive Model ◽  
Finite Sample ◽  
Vector Autoregressive ◽  
Spatial Panel ◽  
The Common ◽  
Structural Vector Autoregressive Model ◽  
Structural Vector

The existing spatial panel structural vector auto-regressive model can effectively capture the time and spatial dynamic dependence of endogenous variables. However, the hypothesis that the common factors have the same effect for all spatial units is unreasonable. Therefore, incorporating time effects, spatial effects, and time-individual effects, this paper develops a more general spatial panel structural vector autoregressive model with interactive effects (ISpSVAR) that can reflect the different effects of common factors on different spatial units. Additionally, based on whether or not the common factors can be observed, this paper proposes procedures to estimate ISpSVAR separately and studies the finite sample properties of estimators by Monte Carlo simulation. The simulation results show the effectiveness of the proposed ISpSVAR model and its estimation procedures.

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