Specifying and estimating vector autoregressions using their Eigensystem representation

• 主要作者: KRIPPNER, Leo
• 格式: text
• 語言: English
• 出版: Institutional Knowledge at Singapore Management University 2024
• 主題: Vector autoregression (VAR); companion matrix; eigenvalues; eigenvectors; Econometrics; Finance and Financial Management
• 在線閱讀: 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
• 機構: Singapore Management University

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...