Template-Type: ReDIF-Paper 1.0
Author-Name: Franses, Ph.H.B.F.
Author-Name-Last: Franses
Author-Name-First: Philip Hans
Author-Person: pfr226
Title: An introduction to time-varying lag autoregression
Abstract: This paper introduces a new autoregressive model, with the specific feature that the lag
 structure can vary over time. More precise, and to keep matters simple, the autoregressive
 model sometimes has lag 1, and sometimes lag 2. Representation, autocorrelation, specification,
 inference, and the creation of forecasts are presented. A detailed illustration for annual inflation
 rates for eight countries in Africa shows the empirical relevance of the new model. Various
 potential extensions are discussed.
Length: 27
Creation-Date: 2020-04-01
File-URL: https://repub.eur.nl/pub/126706/EI2020-05-report.pdf
File-Format: application/pdf
Series: RePEc:ems:eureir
Number: EI2020-05
Classification-JEL: C22, C53
Keywords: Autoregression, Time-varying lags, Forecasting
Handle: RePEc:ems:eureir:126706