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Specifying and estimating vector autoregressions using their eigensystem representation

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  • Krippner, Leo

Abstract

This article introduces the eigensystem vector autoregression (EVAR) framework, where VARs may be specified and estimated directly via their eigenvalue and eigenvector parameters. Eigensystem constraints control a VAR’s allowable dynamics, as illustrated with EVAR estimations guaranteed to be non-explosive.

Suggested Citation

  • Krippner, Leo, 2024. "Specifying and estimating vector autoregressions using their eigensystem representation," Economics Letters, Elsevier, vol. 241(C).
    • Handle: RePEc:eee:ecolet:v:241:y:2024:i:c:s0165176524002957
    DOI: 10.1016/j.econlet.2024.111811
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    References listed on IDEAS

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    1. Phillips, Peter C.B. & Magdalinos, Tassos, 2007. "Limit theory for moderate deviations from a unit root," Journal of Econometrics, Elsevier, vol. 136(1), pages 115-130, January.
    2. Marco Del Negro & Giorgio E. Primiceri, 2015. "Time Varying Structural Vector Autoregressions and Monetary Policy: A Corrigendum," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 82(4), pages 1342-1345.
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    More about this item

    Keywords

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    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models

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