Will the real eigensystem VAR please stand up? A univariate primer

Leo Krippner

CAMA Working Papers from Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University

Abstract: I introduce the essential aspects of the eigensystem vector autoregression (EVAR), which allows VARs to be specified and estimated directly in terms of their eigensystem, using univariate examples for clarity. The EVAR guarantees non-explosive dynamics and, if included, non-redundant moving-average components. In the empirical application, constraining the EVAR eigenvalues to be real and positive leads to “desirable” impulse response functions and improved out-of-sample forecasts.

Keywords: vector autoregression; moaving average; lag polynomial (search for similar items in EconPapers)
JEL-codes: C22 C32 C53 (search for similar items in EconPapers)
Pages: 18 pages
Date: 2019-01
New Economics Papers: this item is included in nep-ecm and nep-ets
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Persistent link: https://EconPapers.repec.org/RePEc:een:camaaa:2019-01

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