Specifying and estimating vector autoregressions using their Eigensystem representation

Specifying and estimating vector autoregressions using their Eigensystem representation

This article introduces the principles and mechanics of the eigensystem vector autoregression (EVAR) framework, where a VAR may be specified and estimated directly via its eigenvalue and eigenvector parameters. Using explicit constraints on the eigensystem permits control of a VAR ís allowable dynam...

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Bibliographic Details
Main Author: KRIPPNER, Leo
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2024
Subjects:
Vector autoregression (VAR)
companion matrix
eigenvalues
eigenvectors
Econometrics
Finance and Financial Management
Online Access:https://ink.library.smu.edu.sg/skbi/42
https://ink.library.smu.edu.sg/context/skbi/article/1041/viewcontent/Specifying_and_estimating_vector_autoregressions..pdf
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Institution: Singapore Management University
Language: English
Description
Summary:This article introduces the principles and mechanics of the eigensystem vector autoregression (EVAR) framework, where a VAR may be specified and estimated directly via its eigenvalue and eigenvector parameters. Using explicit constraints on the eigensystem permits control of a VAR ís allowable dynamics, which is illustrated empirically with standard and time-varying VAR estimations specified to be always non-explosive.

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