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Nov 15, 2023Keywords:
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Application of the Vector Autoregressive Model Incorporating New Measurements Using the Bayesian Approach
Michael Musyoki
David Alilah
David Angwenyi
Abstract
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.
