Specifying and estimating vector autoregressions using their eigensystem representation

C-Tier
Journal: Economics Letters
Year: 2024
Volume: 241
Issue: C

Score contribution per author:

1.005 = (α=2.01 / 1 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

This article introduces the eigensystem vector autoregression (EVAR) framework, where VARs may be specified and estimated directly via their eigenvalue and eigenvector parameters. Eigensystem constraints control a VAR’s allowable dynamics, as illustrated with EVAR estimations guaranteed to be non-explosive.

Technical Details

RePEc Handle
repec:eee:ecolet:v:241:y:2024:i:c:s0165176524002957
Journal Field
General
Author Count
1
Added to Database
2026-01-25