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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Institutional Knowledge at Singapore Management University
2024
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sg-smu-ink.skbi-10412024-05-14T09:07:43Z Specifying and estimating vector autoregressions using their Eigensystem representation KRIPPNER, Leo 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. 2024-05-01T07:00:00Z text application/pdf 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 http://creativecommons.org/licenses/by-nc-nd/4.0/ Sim Kee Boon Institute for Financial Economics eng Institutional Knowledge at Singapore Management University Vector autoregression (VAR) companion matrix eigenvalues eigenvectors Econometrics Finance and Financial Management |
| institution |
Singapore Management University |
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SMU Libraries |
| continent |
Asia |
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Singapore Singapore |
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SMU Libraries |
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InK@SMU |
| language |
English |
| topic |
Vector autoregression (VAR) companion matrix eigenvalues eigenvectors Econometrics Finance and Financial Management |
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Vector autoregression (VAR) companion matrix eigenvalues eigenvectors Econometrics Finance and Financial Management KRIPPNER, Leo Specifying and estimating vector autoregressions using their Eigensystem representation |
| description |
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. |
| format |
text |
| author |
KRIPPNER, Leo |
| author_facet |
KRIPPNER, Leo |
| author_sort |
KRIPPNER, Leo |
| title |
Specifying and estimating vector autoregressions using their Eigensystem representation |
| title_short |
Specifying and estimating vector autoregressions using their Eigensystem representation |
| title_full |
Specifying and estimating vector autoregressions using their Eigensystem representation |
| title_fullStr |
Specifying and estimating vector autoregressions using their Eigensystem representation |
| title_full_unstemmed |
Specifying and estimating vector autoregressions using their Eigensystem representation |
| title_sort |
specifying and estimating vector autoregressions using their eigensystem representation |
| publisher |
Institutional Knowledge at Singapore Management University |
| publishDate |
2024 |
| url |
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 |
| _version_ |
1814047537075585024 |