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The Sequential Estimation of Subset VAR with Forgetting Factor and Intercept Variable

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]

CollectionsANU Research Publications
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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