Vector ARMA Models and Macroeconomic Modelling: Some New Methodology and Algorithms

矢量 ARMA 模型和宏观经济建模：一些新的方法和算法

• 批准号: DP0984399
• 负责人: Prof George Athanasopoulos
• 金额: $ 27.14万
• 依托单位: Monash University
• 依托单位国家: 澳大利亚
• 项目类别: Discovery Projects
• 财政年份: 2009
• 资助国家: 澳大利亚
• 起止时间: 2009-01-01 至 2013-12-31
• 项目状态: 已结题
• 来源: https://dataportal.arc.gov.au/RGS/Web/Grants/DP0984399
• 关键词: Vector; ARMA; Models; Macroeconomic; Modelling

Economic variables are strongly related to each other, as well as being strongly related to their recent history. As a result, good dynamic multivariate models are crucial for effective policy making and forecasting in areas of vital national importance such as monetary and fiscal policy, environmental policy and tourism. Our project advances the frontiers of knowledge in multivariate time series modelling. The outcome of this project will be immediately useful for macroeconomic policy makers such as the Reserve Bank of Australia and the Treasury, and for industry bodies such as Tourism Australia.

经济变量彼此密切相关，也与其近期历史密切相关。因此，良好的动态多元模型对于货币和财政政策、环境政策和旅游业等对国家至关重要的领域的有效政策制定和预测至关重要。我们的项目推进了多元时间序列建模知识的前沿。该项目的成果将立即对宏观经济政策制定者（如澳大利亚储备银行和财政部）以及澳大利亚旅游局等行业机构有用。