论文标题
网络矢量自回归模型的二元响应变量
Network Vector Autoregressive Model for Dyadic Response Variables
论文作者
论文摘要
对于通用面板数据，通过引入网络结构，网络向量自回归（NVAR）模型捕获了多个时间序列之间的线性依赖性。在本文中，我们提出了用于二元响应变量（NVARD）的网络矢量自回归模型，该模型描述了不同对之间的依赖关系的动态过程。此外，由于时间和个体之间存在异质性，我们提出了二元响应变量（VCNVARD）的时变系数网络矢量自回旋模型。最后，我们应用这些模型来预测世界双边贸易流量。
For general panel data, by introducing network structure, network vector autoregressive (NVAR) model captured the linear inter dependencies among multiple time series. In this paper, we propose network vector autoregressive model for dyadic response variables (NVARD), which describes the dynamic process of dyadic data in the case of the dependencies among different pairs are taken into consideration. Besides, due to the existence of heterogeneity between time and individual, we propose time-varying coefficient network vector autoregressive model for dyadic response variables (VCNVARD). Finally, we apply these models to predict world bilateral trade flows.
