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ds21-project-agusti-et-al.pdf

🔗 Source: thevoice.bse.eu

📊 Size: 5.79 MB

👤 Author: Marc Agustí ([email protected]); Patrick Altmeyer ([email protected]); Igna

⬇️ Downloads: 358

Summary

Vector Autoregression (VAR) models are widely used for forecasting macroeconomic time series data, but recent advancements in computational power and deep learning algorithms have led to the development of a new methodology called Deep Vector Autoregression (Deep VAR). This approach combines the VAR equation-by-equation structure with deep learning, fitting each equation with a deep neural network, and has been shown to outperform traditional VAR models in terms of in-sample and out-of-sample fit, as well as forecasting accuracy, particularly during periods of economic downturn and uncertainty.

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Description

Vector Autoregression (VAR) models are widely used for forecasting macroeconomic time series data, but recent advancements in computational power and deep...

Technical Information

File Format: PDF
File Size: 5.79 MB
Pages: 34
Language: EN
Author: Marc Agustí ([email protected]); Patrick Altmeyer ([email protected]); Igna
Total Downloads: 358
Last Updated: 3 weeks ago

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