NUMERICAL SOLUTION OF SURE MODELS DERIVING FROM VAR(P) PROCESSES

Paolo Foschi and Erricos John Kontoghiorghes ()

No 152, Computing in Economics and Finance 2000 from Society for Computational Economics

Abstract: Vector Autoregressive processes of order p (VAR(p)) with coefficient restrictions can be formulated as a SURE model. The response vectors and the coefficient matrices of the regression equations comprise columns from a Toeplitz matrix. Numerical and computational methods that solve the SURE models by efficiently exploiting the Toeplitz structure of the coefficient matrix are proposed. The adaptation of the methods to solve VAR(p) models with Granger-caused variables are also discussed.

Date: 2000-07-05

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:sce:scecf0:152

Access Statistics for this paper

More papers in Computing in Economics and Finance 2000 from Society for Computational Economics
Address: CEF 2000, Departament d'Economia i Empresa, Universitat Pompeu Fabra, Ramon Trias Fargas, 25,27, 08005, Barcelona, Spain
Contact information at EDIRC.
Series data maintained by Christopher F. Baum ().