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Estimation of VAR Models Computational Aspects

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  • Paolo Foschi
  • Erricos Kontoghiorghes

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

Suggested Citation

  • Paolo Foschi & Erricos Kontoghiorghes, 2003. "Estimation of VAR Models Computational Aspects," Computational Economics, Springer;Society for Computational Economics, vol. 21(1), pages 3-22, February.
    • Handle: RePEc:kap:compec:v:21:y:2003:i:1:p:3-22
    DOI: 10.1023/A:1022281319272
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    References listed on IDEAS

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    1. Kontoghiorghes, E. J. & Clarke, M. R. B., 1995. "An alternative approach for the numerical solution of seemingly unrelated regression equations models," Computational Statistics & Data Analysis, Elsevier, vol. 19(4), pages 369-377, April.
    2. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
    3. Johansen, Soren, 1995. "Likelihood-Based Inference in Cointegrated Vector Autoregressive Models," OUP Catalogue, Oxford University Press, number 9780198774501.
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    Cited by:

    1. Charles G. Renfro, 2009. "The Practice of Econometric Theory," Advanced Studies in Theoretical and Applied Econometrics, Springer, number 978-3-540-75571-5, February.
    2. Gatu, Cristian & Kontoghiorghes, Erricos J. & Gilli, Manfred & Winker, Peter, 2008. "An efficient branch-and-bound strategy for subset vector autoregressive model selection," Journal of Economic Dynamics and Control, Elsevier, vol. 32(6), pages 1949-1963, June.
    3. Gatu, Cristian & Kontoghiorghes, Erricos J., 2006. "Estimating all possible SUR models with permuted exogenous data matrices derived from a VAR process," Journal of Economic Dynamics and Control, Elsevier, vol. 30(5), pages 721-739, May.
    4. Blumenstock, Hendrik & von Grone, Udo & Mehlhorn, Marc & Merkl, Johannes & Pietz, Marcus, 2012. "Einflussfaktoren von CDS-Spreads als Maß für das aktuelle Bonitätsrisiko: Liefert das Rating eine Erklärung?," Bayreuth Working Papers on Finance, Accounting and Taxation (FAcT-Papers) 2012-03, University of Bayreuth, Chair of Finance and Banking.
    5. Foschi, Paolo & Belsley, David A. & Kontoghiorghes, Erricos J., 2003. "A comparative study of algorithms for solving seemingly unrelated regressions models," Computational Statistics & Data Analysis, Elsevier, vol. 44(1-2), pages 3-35, October.
    6. Godolphin, J.D., 2009. "New formulations for recursive residuals as a diagnostic tool in the fixed-effects linear model with design matrices of arbitrary rank," Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 2119-2128, April.
    7. Foschi, Paolo & Kontoghiorghes, Erricos J., 2003. "Estimating seemingly unrelated regression models with vector autoregressive disturbances," Journal of Economic Dynamics and Control, Elsevier, vol. 28(1), pages 27-44, October.
    8. Foschi, Paolo & Kontoghiorghes, Erricos J., 2002. "Seemingly unrelated regression model with unequal size observations: computational aspects," Computational Statistics & Data Analysis, Elsevier, vol. 41(1), pages 211-229, November.

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