In this paper a novel distance measure for evaluating the closeness of two vector autoregressive moving average models is presented and its main properties are discussed. The proposed distance is used to investigate the presence of spatial differences in the dynamic link between unemployment rate variation and GDP growth in some European Union countries.
Distance Between VARMA Models and Its Application to Spatial Differences Analysis in the Relationship GDP—Unemployment Growth Rate in Europe / DI IORIO, Francesca; Triacca, Umberto. - (2018), pp. 203-215. [10.1007/978-3-319-96944-2_14]
Distance Between VARMA Models and Its Application to Spatial Differences Analysis in the Relationship GDP—Unemployment Growth Rate in Europe
Francesca Di Iorio
;
2018
Abstract
In this paper a novel distance measure for evaluating the closeness of two vector autoregressive moving average models is presented and its main properties are discussed. The proposed distance is used to investigate the presence of spatial differences in the dynamic link between unemployment rate variation and GDP growth in some European Union countries.File in questo prodotto:
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