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https://hdl.handle.net/20.500.14279/2091
Πεδίο DC | Τιμή | Γλώσσα |
---|---|---|
dc.contributor.author | Gatu, Cristian | - |
dc.contributor.author | Kontoghiorghes, Erricos John | - |
dc.date.accessioned | 2013-01-30T13:33:20Z | en |
dc.date.accessioned | 2013-05-16T08:21:59Z | - |
dc.date.accessioned | 2015-12-02T09:28:35Z | - |
dc.date.available | 2013-01-30T13:33:20Z | en |
dc.date.available | 2013-05-16T08:21:59Z | - |
dc.date.available | 2015-12-02T09:28:35Z | - |
dc.date.issued | 2005-11 | - |
dc.identifier.citation | Computational Management Science, 2005, vol. 2, no. 4, pp. 253-278 | en_US |
dc.identifier.issn | 16196988 | - |
dc.identifier.uri | https://hdl.handle.net/20.500.14279/2091 | - |
dc.description.abstract | Algorithms for computing the subset Vector Autoregressive (VAR) models are proposed. These algorithms can be used to choose a subset of the most statistically-significant variables of a VAR model. In such cases, the selection criteria are based on the residual sum of squares or the estimated residual covariance matrix. The VAR model with zero coefficient restrictions is formulated as a Seemingly Unrelated Regressions (SUR) model. Furthermore, the SUR model is transformed into one of smaller size, where the exogenous matrices comprise columns of a triangular matrix. Efficient algorithms which exploit the common columns of the exogenous matrices, sparse structure of the variance-covariance of the disturbances and special properties of the SUR models are investigated. The main computational tool of the selection strategies is the generalized QR decomposition and its modification | en_US |
dc.format | en_US | |
dc.language.iso | en | en_US |
dc.relation.ispartof | Computational Management Science | en_US |
dc.rights | © Springer Nature | en_US |
dc.rights.uri | http://creativecommons.org/licenses/by-nc-nd/3.0/us/ | * |
dc.subject | Least squares | en_US |
dc.subject | Algorithms | en_US |
dc.subject | Strategy | en_US |
dc.title | Efficient strategies for deriving the subset var models | en_US |
dc.type | Article | en_US |
dc.collaboration | Université de Neuchâtel | en_US |
dc.journals | Subscription | en_US |
dc.country | Greece | en_US |
dc.subject.field | Natural Sciences | en_US |
dc.publication | Peer Reviewed | en_US |
dc.identifier.doi | 10.1007/s10287-004-0021-x | en_US |
dc.dept.handle | 123456789/54 | en |
dc.relation.issue | 4 | en_US |
dc.relation.volume | 2 | en_US |
cut.common.academicyear | 2005-2006 | en_US |
dc.identifier.spage | 253 | en_US |
dc.identifier.epage | 278 | en_US |
item.fulltext | No Fulltext | - |
item.languageiso639-1 | en | - |
item.grantfulltext | none | - |
item.openairecristype | http://purl.org/coar/resource_type/c_6501 | - |
item.cerifentitytype | Publications | - |
item.openairetype | article | - |
crisitem.journal.journalissn | 1619-6988 | - |
crisitem.journal.publisher | Springer Nature | - |
crisitem.author.dept | Department of Finance, Accounting and Management Science | - |
crisitem.author.faculty | Faculty of Tourism Management, Hospitality and Entrepreneurship | - |
crisitem.author.orcid | 0000-0001-9704-9510 | - |
crisitem.author.parentorg | Faculty of Management and Economics | - |
Εμφανίζεται στις συλλογές: | Άρθρα/Articles |
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