Application of the Vector Autoregressive Model Incorporating New Measurements Using the Bayesian Approach

https://doi.org/10.51867/ajernet.4.2.107

Auteurs

Mots-clés :

Bayesian Approach, Measurements, Root Mean Square Error, Vector Autoregressive

Résumé

In this paper, an application of the updated vector autoregresive model incorporating new information or measurements is considered. We consider secondary data obtained from the Kenya National Bureau of statistics, Statistical Abstract reports from 2000-2021 which is on monetary value marketed at current prices from crops, horticulture, livestock and related products, fisheries and forestry. A VAR(1) model is fitted to the data and then the model updated to incorporate the measurements. From the results, it is found that the updated model performs well on the simulated data based on the values of the root mean square error obtained.

Dimensions

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Publiée

2023-11-15

Comment citer

Musyoki, M., Alilah, D., & Angwenyi, D. (2023). Application of the Vector Autoregressive Model Incorporating New Measurements Using the Bayesian Approach. African Journal of Empirical Research, 4(2), 1054–1062. https://doi.org/10.51867/ajernet.4.2.107

Numéro

Vol. 4 No 2 (2023): Jul-Dec 2023

Rubrique

Articles
Copyright & Licensing

(c) Tous droits réservés Michael Musyoki, David Alilah, David Angwenyi 2023

Creative Commons License

Ce travail est disponible sous licence Creative Commons Attribution - Pas d’Utilisation Commerciale 4.0 International.

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