Specifying and estimating vector autoregressions using their eigensystem representation

Leo Krippner

Economics Letters, 2024, vol. 241, issue C

Abstract: This article introduces the eigensystem vector autoregression (EVAR) framework, where VARs may be specified and estimated directly via their eigenvalue and eigenvector parameters. Eigensystem constraints control a VAR’s allowable dynamics, as illustrated with EVAR estimations guaranteed to be non-explosive.

Keywords: Vector autoregression (VAR); Companion matrix; Eigenvalues; Eigenvectors (search for similar items in EconPapers)
JEL-codes: C13 C32 (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:241:y:2024:i:c:s0165176524002957

DOI: 10.1016/j.econlet.2024.111811

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