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3 years ago

New study reveals insights on predicting economic trends with time-varying VAR models.

SSRN Electronic Journal
On Time-Varying VAR Models: Estimation, Testing and Impulse Response Analysis
Yayi Yan, Jiti Gao, Bin Peng

Paper Summary

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The article discusses a method for analyzing how variables change over time, called Time-Varying VAR Models. The researchers developed a way to estimate, test, and analyze these models to understand how different factors interact and influence each other. Their findings show that this approach can provide valuable insights into how variables evolve and respond to changes in the environment.