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Estimation of VAR Models: Computational Aspects

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  • Paolo Foschi

    ()
    (Institut d'informatique, UniversitÈ de Neuchatel, Rue Emile Argand 11, CH-2007 Neuch�tel, Switzerland)

  • Erricos J. Kontoghiorghes

    ()
    (Institut d'informatique, UniversitÈ de Neuchatel, Rue Emile Argand 11, CH-2007 Neuch�tel, Switzerland)

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.

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Bibliographic Info

Article provided by Society for Computational Economics in its journal Computational Economics.

Volume (Year): 21 (2003)
Issue (Month): 1_2 (02)
Pages: 3-22

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Handle: RePEc:kap:compec:v:21:y:2003:i:1_2:p:3-22

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  1. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
  2. Johansen, Soren, 1995. "Likelihood-Based Inference in Cointegrated Vector Autoregressive Models," OUP Catalogue, Oxford University Press, number 9780198774501.
  3. Kontoghiorghes, E. J. & Clarke, M. R. B., 1995. "An alternative approach for the numerical solution of seemingly unrelated regression equations models," Computational Statistics & Data Analysis, Elsevier, vol. 19(4), pages 369-377, April.
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Cited by:
  1. Godolphin, J.D., 2009. "New formulations for recursive residuals as a diagnostic tool in the fixed-effects linear model with design matrices of arbitrary rank," Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 2119-2128, April.
  2. Foschi, Paolo & Belsley, David A. & Kontoghiorghes, Erricos J., 2003. "A comparative study of algorithms for solving seemingly unrelated regressions models," Computational Statistics & Data Analysis, Elsevier, vol. 44(1-2), pages 3-35, October.
  3. Gatu, Cristian & Kontoghiorghes, Erricos J. & Gilli, Manfred & Winker, Peter, 2008. "An efficient branch-and-bound strategy for subset vector autoregressive model selection," Journal of Economic Dynamics and Control, Elsevier, vol. 32(6), pages 1949-1963, June.
  4. Gatu, Cristian & Kontoghiorghes, Erricos J., 2006. "Estimating all possible SUR models with permuted exogenous data matrices derived from a VAR process," Journal of Economic Dynamics and Control, Elsevier, vol. 30(5), pages 721-739, May.
  5. Foschi, Paolo & Kontoghiorghes, Erricos J., 2003. "Estimating seemingly unrelated regression models with vector autoregressive disturbances," Journal of Economic Dynamics and Control, Elsevier, vol. 28(1), pages 27-44, October.
  6. Blumenstock, Hendrik & von Grone, Udo & Mehlhorn, Marc & Merkl, Johannes & Pietz, Marcus, 2012. "Einflussfaktoren von CDS-Spreads als Maß für das aktuelle Bonitätsrisiko: Liefert das Rating eine Erklärung?," Bayreuth Working Papers on Finance, Accounting and Taxation (FAcT-Papers) 2012-03, University of Bayreuth, Chair of Finance and Banking.

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