Yet more on a stochastic economic model: Part 5: a vector autoregressive (VAR) Model for retail prices and wages

Wilkie A. D., Sahin S.

ANNALS OF ACTUARIAL SCIENCE, cilt.13, sa.1, ss.92-108, 2019 (ESCI) identifier identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 13 Sayı: 1
  • Basım Tarihi: 2019
  • Doi Numarası: 10.1017/s1748499518000106
  • Dergi Adı: ANNALS OF ACTUARIAL SCIENCE
  • Derginin Tarandığı İndeksler: Emerging Sources Citation Index (ESCI), Scopus
  • Sayfa Sayıları: ss.92-108
  • Hacettepe Üniversitesi Adresli: Evet

Özet

In this paper we develop a vector autoregressive model for retail prices and wages within the Wilkie model. The results turn out to be a slight improvement over the original model, but the simulated results are not very different.