Rank-based testing for semiparametric VAR models: A measure transportation approach

Hallin, Marc; Vecchia, Davide La; Liu, Huan

doi:10.3150/21-bej1456

Cited by 10 publications

(1 citation statement)

References 55 publications

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“…The vector autoregressive model (VAR model) is a nonstructural system of equations model [15]. The model is a multi-equation linkage model in which endogenous variables are regressed on the lagged terms of all endogenous independent variables in each equation to estimate the dynamic relationships of all endogenous variables [16]. VAR is commonly used to predict interconnected time series systems and to analyze the dynamic impact of stochastic perturbations on systems of variables [17].…”

Section: Models and Variablesmentioning

confidence: 99%

Persistence Analysis of the Impact of the Russia-Ukraine Conflict on NATO Allies' Military Spending-Empirical Analysis Based on Vector Autoregressive Model (VAR)

Lyu¹,

Wang²,

Zhang³

et al. 2022

IJSSE

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This paper focused on the sustainability of the impact of the Russia-Ukraine conflict on the military spending of NATO allies. As Russia launched a "special military operation" in Ukraine in February 2022, NATO allies announced their intention to significantly increase military spending in response to the "threat" from Russia. However, under the stimulation of the Russia-Ukraine conflict, it is uncertain whether the NATO defense budget increase spree can be sustained. Based on this, this paper analyzed the sustainability of NATO's military spending increase in the context of the Russia-Ukraine conflict by building a vector autoregressive model (VAR). Through the impulse response analysis, this paper concluded that the Russia-Ukraine conflict shock stimulates NATO allies to increase military spending persistently only for about three years.

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Section: Models and Variablesmentioning

confidence: 99%