Publication Type
Working Paper
Version
publishedVersion
Publication Date
5-2024
Abstract
This article introduces the principles and mechanics of the eigensystem vector autoregression (EVAR) framework, where a VAR may be specified and estimated directly via its eigenvalue and eigenvector parameters. Using explicit constraints on the eigensystem permits control of a VAR ís allowable dynamics, which is illustrated empirically with standard and time-varying VAR estimations specified to be always non-explosive.
Keywords
Vector autoregression (VAR), companion matrix, eigenvalues, eigenvectors
Discipline
Econometrics | Finance and Financial Management
First Page
1
Last Page
8
Publisher
Singapore Managment University, Sim Kee Boon Institute for Financial Economics
City or Country
Singapore
Embargo Period
5-14-2024
Citation
KRIPPNER, Leo.
Specifying and estimating vector autoregressions using their Eigensystem representation. (2024). 1-8.
Available at: https://ink.library.smu.edu.sg/skbi/42
Copyright Owner and License
Authors
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.