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https://hdl.handle.net/20.500.14279/2048| Τίτλος: | Estimation of var models: computational aspects | Συγγραφείς: | Foschi, Paolo Kontoghiorghes, Erricos John |
metadata.dc.contributor.other: | Κοντογιώργης, Έρρικος Γιάννης | Major Field of Science: | Natural Sciences | Field Category: | Computer and Information Sciences | Λέξεις-κλειδιά: | Regression analysis;Columns;Algorithms | Ημερομηνία Έκδοσης: | Φεβ-2003 | Πηγή: | Computational Economics, 2003, vol. 21, no. 1-2, pp. 3-22 | Volume: | 21 | Issue: | 1-2 | Start page: | 3 | End page: | 22 | Περιοδικό: | Computational Economics | Περίληψη: | 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: | https://hdl.handle.net/20.500.14279/2048 | ISSN: | 15729974 | DOI: | 10.1023/A:1022281319272 | Rights: | © Kluwer | Type: | Article | Affiliation: | Université de Neuchâtel | Publication Type: | Peer Reviewed |
| Εμφανίζεται στις συλλογές: | Άρθρα/Articles |
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