Please use this identifier to cite or link to this item: http://ktisis.cut.ac.cy/handle/10488/6788
Title: Estimation of var models: computational aspects
Authors: Foschi, Paolo 
Kontoghiorghes, Erricos John 
Keywords: Regression analysis;Columns;Algorithms
Issue Date: 2003
Publisher: Springer Link
Source: Computational Economics, 2003, Volume 21, Issue 1-2, Pages 3-22
Abstract: The Vector Autoregressive (VAR) model with zero coefficient restrictions can be formulated as a Seemingly Unrelated Regression Equation (SURE) model. Both the response vectors and the coefficient matrix of the regression equations comprise columns from a Toeplitz matrix. Efficient numerical and computational methods which exploit the Toeplitz and Kronecker product structure of the matrices are proposed. The methods are also adapted to provide numerically stable algorithms for the estimation of VAR(p) models with Granger-caused variables.
URI: http://ktisis.cut.ac.cy/handle/10488/6788
ISSN: 0927-7099 (print)
1572-9974 (online)
DOI: 10.1023/A:1022281319272
Rights: © 2003 Kluwer Academic Publishers. Printed in the Netherlands.
Type: Article
Appears in Collections:Άρθρα/Articles

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