Network Vector Autoregressive Model for Dyadic Response Variables

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 conside-ration. 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.

• Publication year

  2022

• Venue

  Unknown venue

• Publication date

  2022-05-29

• Fields of study

  Mathematics, Economics

• Identifiers
  arXiv 2205.14698
• External record

  Open on Semantic Scholar

• Source metadata

  Semantic Scholar

• No claims are published for this paper.

• No concepts are published for this paper.

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