The regression model with autocorrelated disturbances is as follows: In these equations, y t are the dependent values, x t is a column vector of regressor variables, is a column vector of structural ...
The estimates of the autocorrelations are shown for 5 lags. The backward elimination of autoregressive terms report shows that the autoregressive parameters at lags 3, 4, and 5 were insignificant and ...
Using the stock return data of Chinese-listed banks, this paper measures the systemic risk contagion effect of banks via the least absolute shrinkage and selection operator–vector autoregression ...
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