article · Applied Stochastic Models in Business and Industry · 2024

Linkage vector autoregressive model

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Abstract

Abstract To accommodate linkage effects of individuals, we develop a new linkage vector autoregressive (LAR) model for dynamic panel data. A main feature of the LAR model is incorporating dynamic network information in autoregressive time series modeling. The dynamic network can be given, or we can formulate the network links as a function of historical data, where unknown parameters of the function can be estimated from the data. We propose a simulation technique to check the stationarity condition of the LAR model and suggest a Bayesian Markov chain Monte Carlo method for estimation. Empirical results for the quarterly growth rates of gross domestic product (GDP) in 45 countries indicate that (i) the autoregressive (AR) coefficient for the aggregated growth rate is hard to distinguish from zero; (ii) a panel AR model with individual effects has a positive autocorrelation; and (iii) the alternative LAR models are preferred to the panel AR model. Depending on the specification of the linkage variables, the sign and size of the linkage effect can differ. The logistic linkage function has a flexible structure to accommodate the size of the linkage of individual GDP growth rates, and it strengthens the dynamics.

Cite this paper

APA 7

Asai, M., & So, M. K. P. (2024). Linkage vector autoregressive model. Applied Stochastic Models in Business and Industry, 40(4), 850–862. https://doi.org/10.1002/asmb.2842

MLA 9

Asai, Manabu, and Mike K. P. So. “Linkage vector autoregressive model.” Applied Stochastic Models in Business and Industry, vol. 40, no. 4, 2024, pp. 850–62, https://doi.org/10.1002/asmb.2842.

Chicago

Asai, Manabu, and Mike K. P. So. 2024. “Linkage vector autoregressive model.” Applied Stochastic Models in Business and Industry 40 (4): 850–62. https://doi.org/10.1002/asmb.2842.

Harvard

Asai, M. and So, M.K.P. (2024) ‘Linkage vector autoregressive model’, Applied Stochastic Models in Business and Industry, 40(4), pp. 850–862. Available at: https://doi.org/10.1002/asmb.2842.

BibTeX

@article{asai2024linkage,
  title = {{Linkage vector autoregressive model}},
  author = {Asai, Manabu and So, Mike K. P.},
  journal = {Applied Stochastic Models in Business and Industry},
  volume = {40},
  number = {4},
  pages = {850--862},
  year = {2024},
  doi = {10.1002/asmb.2842}
}

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