Please use this identifier to cite or link to this item: https://hdl.handle.net/20.500.14279/2027
Title: Estimating all possible sur models with permuted exogenous data matrices derived from a var process
Authors: Gatu, Cristian 
Kontoghiorghes, Erricos John 
Major Field of Science: Natural Sciences
Keywords: Least squares;Algorithms
Issue Date: May-2006
Source: Journal of Economic Dynamics and Control, 2006, vol. 30, no. 5, pp. 721-739
Volume: 30
Issue: 5
Start page: 721
End page: 739
Journal: Journal of Economic Dynamics and Control 
Abstract: The Vector Autoregressive (VAR) process with zero coefficient constraints can be formulated as a Seemingly Unrelated Regressions (SUR) model. Within the context of subset VAR model selection a computationally efficient strategy to generate and estimate all G ! SUR models when permuting the exogenous data matrices is proposed, where G is the number of the regression equations. The combinatorial algorithm is based on orthogonal transformations, exploits the particular structure of the modified models and avoids the estimation of these models afresh by utilizing previous computation. Theoretical measurements of complexity are derived to prove the efficiency of the proposed algorithm.
URI: https://hdl.handle.net/20.500.14279/2027
ISSN: 1651889
DOI: 10.1016/j.jedc.2005.03.006
Rights: © Elsevier
Type: Article
Affiliation : University of Cyprus 
University of London 
Publication Type: Peer Reviewed
Appears in Collections:Άρθρα/Articles

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