Specifying and estimating vector autoregressions using their eigensystem representation

DOI10.1016/J.ECONLET.2024.111811MaRDI QIDQ6594846

Leo Krippner

Publication date: 29 August 2024

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

zbMATH Keywords

eigenvalueseigenvectorscompanion matrixvector autoregression (VAR)

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

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• Multi-companion matrices
• Limit theory for moderate deviations from a unit root
• Estimation of parameters and eigenmodes of multivariate autoregressive models
• Time Varying Structural Vector Autoregressions and Monetary Policy

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