Estimating and applying autoregression models via their eigensystem representation

• Main Author: KRIPPNER, Leo
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2023
• Subjects: autoregression; lag polynomial; eigenvalues; eigenvectors; companion matrix; Econometrics; Finance and Financial Management
• Online Access: https://ink.library.smu.edu.sg/skbi/32; https://ink.library.smu.edu.sg/context/skbi/article/1031/viewcontent/Krippner20231002..pdf
• Institution: Singapore Management University

This article introduces the eigensystem autoregression (EAR) framework, which allows an AR model to be specified, estimated, and applied directly in terms of its eigenvalues and eigenvectors. An EAR estimation can therefore impose various constraints on AR dynamics that would not be possible within...