Coefficient Matrices Computation of Structural Vector Autoregressive Model
نویسنده
چکیده
In this paper we present the Large Inverse Cholesky (LIC) method, an efficient method for computing the coefficient matrices of a Structural Vector Autoregressive (SVAR) model.
منابع مشابه
Structure of Wavelet Covariance Matrices and Bayesian Wavelet Estimation of Autoregressive Moving Average Model with Long Memory Parameter’s
In the process of exploring and recognizing of statistical communities, the analysis of data obtained from these communities is considered essential. One of appropriate methods for data analysis is the structural study of the function fitting by these data. Wavelet transformation is one of the most powerful tool in analysis of these functions and structure of wavelet coefficients are very impor...
متن کاملSupplement: Estimating Structured Vector Autoregressive Model
Consider a vector autoregressive (VAR) model of order d: xt = A1xt−1 + . . .+Adxt−d + t, t = 0,±1,±2, . . . , (1) where xt ∈ R is a random vector, Ai ∈ Rp×p, i = 1, . . . , d are fixed coefficient matrices and t is a vector of zero-mean white noise, i.e., E( t) = 0, E( t t ) = Σ and E( t T t+h) = 0, for h 6= 0. We assume that the noise covariance matrix Σ is positive definite with bounded large...
متن کاملThe Adjustment of the Yule-Walker Relations in VAR Modeling: The Impact of the Euro on the Hong Kong Stock Market*
Vector autoregressive models are increasingly being used in the analysis of relationships within and between financial markets. In such models, there are circumstances that require zero entries in the coefficient matrices. Such circumstances can be particularly relevant in the context of markets with special characteristics, such as emerging economies. This paper shows that a direct extension o...
متن کاملVector Autoregressive Model Selection: Gross Domestic Product and Europe Oil Prices Data Modelling
We consider the problem of model selection in vector autoregressive model with Normal innovation. Tests such as Vuong's and Cox's tests are provided for order and model selection, i.e. for selecting the order and a suitable subset of regressors, in vector autoregressive model. We propose a test as a modified log-likelihood ratio test for selecting subsets of regressors. The Europe oil prices, ...
متن کاملA Program for the Identification of Structural VAR-Models
This paper presents a menu-driven RATS-program which allows to identify structural shocks in vector-autoregressive (VAR) models. Identification is achieved by imposing short-run or long-run restrictions (or a combination of both) on the structural form of a model. The only requirement is that the matrix of restrictions consisting of rows of the restricted matrices of short-run and long-run effe...
متن کامل