Estimating all possible SUR models with permuted exogenous data matrices derived from a VAR process

DOI10.1016/J.JEDC.2005.03.006MaRDI QIDQ956526zbMATH OpenOpenAlexFDO

Authors Cristian Gatu, Erricos J. Kontoghiorghes

Publication date 25 November 2008

Published in Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jedc.2005.03.006

zbMATH Keywords

least squaresQR decompositioncombinatorial algorithmsseemingly unrelated regressions modelssubset vector autoregressive model selection

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of mathematical programming (90C90)

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Cited in

(6)

• An efficient branch-and-bound strategy for subset vector autoregressive model selection
• Computationally efficient methods for estimating the updated-observations SUR models
• Variable selection in regression models using nonstandard optimisation of information criteria
• Efficient strategies for deriving the subset VAR models
• Model selection in a system of simultaneous equations model
• A graph approach to generate all possible regression submodels

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