Model reduction in dynamical VAR systems

Mohammed Alaoui Kbiri and Hassan Ghassan ()

MPRA Paper from University Library of Munich, Germany

Abstract: In this paper, we propose an alternative method that applies the model reduction techniques to the VAR framework when the number of variables is sufficiently large. The relevance of the model reduction in the VAR and SVAR systems comes from that the new trajectories preserve the qualitative properties of the initial trajectories. In economic analysis, this allows us to apprehend the underlying phenomena. Also, the resulting model is accurate, computationally less expensive, and based on the real meaning of the system.

Keywords: Complexity; Dynamic system; Dimension reduction; Economic analysis; Reduced VAR; Reduced structural VAR. (search for similar items in EconPapers)
JEL-codes: C38 C55 (search for similar items in EconPapers)
Date: 2019, Revised 2020
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Published in International Journal of Applied Mathematics and Statistics 3.59(2020): pp. 12-20

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:122971

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