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

  • A. D. Wilkie (a1) and Şule Şahin (a2) (a3)

Abstract

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.

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Corresponding author

*Correspondence to: A. D. Wilkie, InQA Limited, Dennington, Ridgeway, Horsell, Woking GU21 4QR, UK. Tel: +44 1483 725984 or +44 1483 755826. E-mail: david.wilkie@inqa.com

References

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Wilkie, A.D (1986). A stochastic investment model for actuarial use. Transactions of the Faculty of Actuaries, 39, 341381.
Wilkie, A.D (1995). More on a stochastic asset model for actuarial use. British Actuarial Journal, 1, 777964.
Wilkie, A.D., Şahin, Ş., Cairns, A.J.G. & Kleinow, T (2011). Yet more on a stochastic economic model: Part 1: updating and refitting, 1995 to 2009. Annals of Actuarial Science, 5, 5399.
Wilkie, A.D. & Şahin, Ş (2016). Yet more on a stochastic economic model: Part 2: initial conditions, select periods and neutralising parameters. Annals of Actuarial Science, 10, 151.
Wilkie, A.D. & Şahin, Ş (2017a). Yet more on a stochastic economic model: Part 3A stochastic interpolation: Brownian and Ornstein-Uhlenbeck bridges. Annals of Actuarial Science, 11, 7499.
Wilkie, A.D. & Şahin, Ş (2017b). Yet more on a stochastic economic model: Part 3B stochastic bridging for retail prices and wages. Annals of Actuarial Science, 11, 100127.
Wilkie, A.D. & Şahin, Ş (2017c). Yet more on a stochastic economic model: Part 3C stochastic bridging for share yields and dividends and interest rates. Annals of Actuarial Science, 11, 128163.
Wilkie, A.D. & Şahin, Ş. (2018). Yet more on a stochastic economic model: Part 4: a model for share earnings, dividends and prices. Annals of Actuarial Science, 12, 67105.

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