The Sequential Estimation of Subset VAR with Forgetting Factor and Intercept Variable
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O'Neill, Terence; Penm, Jammie H C; Terrell, Richard
Description
In this paper we propose a forward time update algorithm to recursively estimate subset vector autoregressive models (including an intercept term) with a forgetting factor, using the exact window case. The proposed recursions cover, for the first time, subset vector autoregressive models (VAR) with a forgetting factor and an intercept variable. We then present two applications. In the first application we apply the proposed estimation algorithm to the quarterly aluminium prices on the London...[Show more]
Collections | ANU Research Publications |
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Date published: | 2004 |
Type: | Journal article |
URI: | http://hdl.handle.net/1885/88686 |
Source: | International Journal of Theoretical and Applied Finance |
DOI: | 10.1142/S0219024904002803 |
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