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
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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

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