Efficient strategies for deriving the subset VAR models

DOI10.1007/s10287-004-0021-xzbMath1089.62106OpenAlexW2066734404MaRDI QIDQ2493224

Cristian Gatu, Erricos John Kontoghiorghes

Publication date: 12 June 2006

Published in: Computational Management Science (Search for Journal in Brave)

Full work available at URL: http://doc.rero.ch/record/319057/files/10287_2004_Article_21.pdf

zbMATH Keywords

least squaresQR decompositionSUR modelssubset regression

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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