A Bayesian Markov-switching SAR model for time-varying cross-price spillovers
时变跨价格溢出的贝叶斯马尔可夫转换空间自回归模型AI 解读 ↓
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AI 根据所提供的论文材料归类:摘要研究马尔可夫转换的时间动态,并应用于十五个国家的细分 CPI 数据,直接对应时间序列与宏观面板方向。
时变跨价格溢出的贝叶斯马尔可夫转换空间自回归模型AI 解读 ↓
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The spatial autoregressive (SAR) model is extended by introducing a Markov switching dynamics for the weight matrix and spatial autoregressive parameter. The framework enables the identification of regime-specific connectivity patterns and strengths and the study of the spatiotemporal propagation of shocks in a system with a time-varying spatial multiplier matrix. The proposed model is applied to disaggregated CPI data from 15 EU countries to examine cross-price dependencies. The analysis identifies distinct connectivity structures and spatial weights across the states, which capture shifts in consumer behaviour, with marked cross-country differences in the spillover from one price category to another.
大型贝叶斯矩阵自回归模型
High-dimensional matrix-valued time-series are increasingly common in economics and finance. Prominent examples include large cross-region panels and dynamic economic networks. As the dimensions of the matrix grow, conventional approaches based on vector autoregressions—implemented by vectoring the matrix-valued data—become computationally infeasible. We introduce a class of large Bayesian matrix autoregressions (BMARs) that can accommodate time-varying volatility,…
Summary The synthetic control method (SCM) is widely used for causal inference with panel data, particularly when the number of treated units is small. It relies on the stable unit treatment value assumption, ruling out spillover effects. However, interventions often affect not only treated but also untreated units. This study proposes a novel panel data method that extends the standard SCM to account for spillovers and estimate both treatment and spillover effects. The…
时空区域数据的贝叶斯建模与聚类:意大利失业率应用
Spatio-temporal areal data can be seen as a collection of time series which are spatially correlated according to a specific neighboring structure. Incorporating the temporal and spatial dimension into a statistical model poses challenges regarding the underlying theoretical framework as well as the implementation of efficient computational methods. We propose to include spatio-temporal random effects using a conditional autoregressive prior, where the temporal correlation…
具有内生同步效应的马尔可夫转换面板模型
This paper introduces a new dynamic panel model with multi-layer network effects. Series-specific latent Markov chain processes drive the dynamics of the observable processes, and several types of interaction effects among the hidden chains allow for various degrees of endogenous synchronization of both latent and observable processes. The interaction is driven by a multi-layer network with exogenous and endogenous connectivity layers. We provide some theoretical properties…
动态面板空间向量自回归估计:稳定性与空间多变量协整
This paper introduces dynamic panel spatial vector autoregressive models. We study features of dynamics and spatial interactions that an SVAR model can generate and classify the model into stable or unstable cases by partitioning parameter spaces. For stable, spatial cointegration, and mixed cointegration cases, we investigate identification and QML estimation of the models to take into account simultaneity and correlated relationships. Asymptotic properties and…
使用柯西估计量的异方差面板单位根检验
The Cauchy estimator of an autoregressive root uses the sign of the first lag as instrumental variable. The resulting IV t-type statistic follows a standard normal limiting distribution under a unit root case even under unconditional heteroscedasticity, if the series to be tested has no deterministic trends. The standard normality of the Cauchy test is exploited to obtain a standard normal panel unit root test under cross-sectional dependence and time-varying volatility with…