Estimation of VAR Models Computational Aspects

Paolo Foschi and Erricos Kontoghiorghes

Computational Economics, 2003, vol. 21, issue 1, 3-22

Abstract: The Vector Autoregressive (VAR) model with zero coefficient restrictions canbe formulated as a Seemingly Unrelated Regression Equation (SURE) model. Boththe response vectors and the coefficient matrix of the regression equationscomprise columns from a Toeplitz matrix. Efficient numerical and computationalmethods which exploit the Toeplitz and Kronecker product structure of thematrices are proposed. The methods are also adapted to provide numericallystable algorithms for the estimation of VAR(p) models with Granger-causedvariables. Copyright Kluwer Academic Publishers 2003

Keywords: vector autoregressive processes; SURE model; matrix factorizations (search for similar items in EconPapers)
Date: 2003
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DOI: 10.1023/A:1022281319272

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