Long run recursive VAR models and QR decompositions.

DOI10.1016/S0165-1765(01)00457-8zbMath1077.62532OpenAlexW2061668688MaRDI QIDQ5941469

Mathias Hoffmann

Publication date: 20 August 2001

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0165-1765(01)00457-8

zbMATH Keywords

QR decompositionCointegrationCholeski decompositionsEconomic fluctuationsLong run recursive VARStructural vector autoregression

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical methods; economic indices and measures (91B82)

Cites Work

• Algorithms and economic dynamics. Selected papers from the 2nd annual meeting of the Society for Computational Economics, Geneva, Switzerland, 1996
• Testing for Common Trends
• Likelihood-Based Inference in Cointegrated Vector Autoregressive Models

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