Yet more on a stochastic economic model: Part 5: a vector autoregressive (VAR) Model for retail prices and wages

Yet more on a stochastic economic model: Part 5: a vector autoregressive (VAR) Model for retail prices and wages

In this paper we develop a vector autoregressive model for retail prices and wages within the Wilkie model. The results turn out to be a slight improvement over the original model, but the simulated results are not very different.

Gespeichert in:
Bibliographische Detailangaben
Veröffentlicht in:Annals of actuarial science 2019-03, Vol.13 (1), p.92-108
Hauptverfasser: Wilkie, A. D., Şahin, Şule
Format: Artikel
Sprache:eng
Schlagworte:
Actuarial science
Economic models
Kurtosis
Liability insurance
Prices
Series & special reports
Stochastic models
Wages & salaries
Online-Zugang:Volltext
Tags: Tag hinzufügen
Keine Tags, Fügen Sie den ersten Tag hinzu!
Beschreibung
Zusammenfassung:In this paper we develop a vector autoregressive model for retail prices and wages within the Wilkie model. The results turn out to be a slight improvement over the original model, but the simulated results are not very different.
ISSN:1748-4995
1748-5002
DOI:10.1017/S1748499518000106