多元马尔可夫开关分数驱动模型:在全球原油市场中的应用

IF 0.7 4区经济学 Q3 ECONOMICS

Studies in Nonlinear Dynamics and Econometrics Pub Date : 2021-04-28 DOI:10.1515/snde-2020-0099

Szabolcs Blazsek, A. Escribano, Adrián Licht

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引用次数: 7

摘要

摘要介绍了一类新的多元非线性拟向量自回归（QVAR）模型。它是一个多变量t分布的具有随机季节性的马尔可夫切换分数驱动模型（MS-Seasonal-t-QVAR）。作为扩展，我们允许具有共同趋势和非线性协整的可能性。使用了分数驱动的局部水平和季节性的非线性更新，这对每个制度内的异常值都是鲁棒的。我们证明了VAR积分移动平均（VARIMA）型滤波器是QVAR滤波器的特殊情况。利用具有共同趋势的MS-Seasonal-t-QVAR中的排除、符号和弹性识别限制，我们为全球原油市场提供了短期和长期脉冲响应函数。

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Multivariate Markov-switching score-driven models: an application to the global crude oil market

Abstract A new class of multivariate nonlinear quasi-vector autoregressive (QVAR) models is introduced. It is a Markov switching score-driven model with stochastic seasonality for the multivariate t-distribution (MS-Seasonal-t-QVAR). As an extension, we allow for the possibility of having common-trends and nonlinear co-integration. Score-driven nonlinear updates of local level and seasonality are used, which are robust to outliers within each regime. We show that VAR integrated moving average (VARIMA) type filters are special cases of QVAR filters. Using exclusion, sign, and elasticity identification restrictions in MS-Seasonal-t-QVAR with common-trends, we provide short-run and long-run impulse response functions for the global crude oil market.

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来源期刊

Studies in Nonlinear Dynamics and Econometrics Multiple-

CiteScore

1.40

自引率

12.50%

发文量

期刊介绍： Studies in Nonlinear Dynamics & Econometrics (SNDE) recognizes that advances in statistics and dynamical systems theory may increase our understanding of economic and financial markets. The journal seeks both theoretical and applied papers that characterize and motivate nonlinear phenomena. Researchers are required to assist replication of empirical results by providing copies of data and programs online. Algorithms and rapid communications are also published.