Estimation of VAR Models: Computational Aspects
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References listed on IDEAS
- 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.
- Johansen, Soren, 1995. "Likelihood-Based Inference in Cointegrated Vector Autoregressive Models," OUP Catalogue, Oxford University Press, number 9780198774501.
- Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
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- 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.
- 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.
- 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.
- 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.
- 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.
- Foschi, Paolo & Kontoghiorghes, Erricos J., 2002. "Seemingly unrelated regression model with unequal size observations: computational aspects," Computational Statistics & Data Analysis, Elsevier, vol. 41(1), pages 211-229, November.
- 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.
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