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Estimation of VAR Models Computational Aspects

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Author Info
Paolo Foschi
Erricos Kontoghiorghes

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Abstract

The Vector Autoregressive (VAR) model with zero coefficient restrictions canbe formulated as a Seemingly Unrelated Regression Equation (SURE) model. Boththe response vectors and the coefficient matrix of the regression equationscomprise columns from a Toeplitz matrix. Efficient numerical and computationalmethods which exploit the Toeplitz and Kronecker product structure of thematrices are proposed. The methods are also adapted to provide numericallystable algorithms for the estimation of VAR(p) models with Granger-causedvariables. Copyright Kluwer Academic Publishers 2003

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File URL: http://hdl.handle.net/10.1023/A:1022281319272
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Publisher Info
Article provided by Springer in its journal Computational Economics.

Volume (Year): 21 (2003)
Issue (Month): 1 (February)
Pages: 3-22
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Handle: RePEc:kap:compec:v:21:y:2003:i:1:p:3-22

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Web page: http://www.springerlink.com/link.asp?id=100248

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Related research
Keywords: vector autoregressive processes; SURE model; matrix factorizations;

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. 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. [Downloadable!] (restricted)
  2. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254. [Downloadable!] (restricted)
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This page was last updated on 2009-11-12.

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