Specifying and estimating vector autoregressions using their eigensystem representation

DOI10.1016/J.ECONLET.2024.111811MaRDI QIDQ6594846zbMATH OpenFDO

Authors Leo Krippner

Publication date 29 August 2024

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.ECONLET.2024.111811

zbMATH Keywords

companion matrixeigenvalueseigenvectorsvector autoregression (VAR)

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

• Estimation of parameters and eigenmodes of multivariate autoregressive models
• scientific article; zbMATH DE number 777596 (Why is no real title available?)
• scientific article; zbMATH DE number 3408799 (Why is no real title available?)
• Limit theory for moderate deviations from a unit root
• Multi-companion matrices
• New introduction to multiple time series analysis.
• Time Varying Structural Vector Autoregressions and Monetary Policy

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