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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| Format: | text |
| Language: | English |
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Institutional Knowledge at Singapore Management University
2024
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| Subjects: | |
| 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 |