Estimating and Applying Autoregression Models via Their Eigensystem Representation
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- Leo Krippner, 2023. "Estimating and Applying Autoregression Models Via Their Eigensystem Representation," Working Papers in Economics 23/09, University of Waikato.
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More about this item
Keywords
autoregression; lag polynomial; eigenvalues; eigenvectors; companion matrix;All these keywords.
JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2023-10-30 (Econometrics)
- NEP-ETS-2023-10-30 (Econometric Time Series)
- NEP-FOR-2023-10-30 (Forecasting)
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