کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5099993 | 1377066 | 2006 | 19 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Estimating all possible SUR models with permuted exogenous data matrices derived from a VAR process
دانلود مقاله + سفارش ترجمه
دانلود مقاله ISI انگلیسی
رایگان برای ایرانیان
کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
کنترل و بهینه سازی
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: Estimating all possible SUR models with permuted exogenous data matrices derived from a VAR process Estimating all possible SUR models with permuted exogenous data matrices derived from a VAR process](/preview/png/5099993.png)
چکیده انگلیسی
The Vector Autoregressive (VAR) process with zero coefficient constraints can be formulated as a Seemingly Unrelated Regressions (SUR) model. Within the context of subset VAR model selection a computationally efficient strategy to generate and estimate all G! SUR models when permuting the exogenous data matrices is proposed, where G is the number of the regression equations. The combinatorial algorithm is based on orthogonal transformations, exploits the particular structure of the modified models and avoids the estimation of these models afresh by utilizing previous computation. Theoretical measurements of complexity are derived to prove the efficiency of the proposed algorithm.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Economic Dynamics and Control - Volume 30, Issue 5, May 2006, Pages 721-739
Journal: Journal of Economic Dynamics and Control - Volume 30, Issue 5, May 2006, Pages 721-739
نویسندگان
Cristian Gatu, Erricos J. Kontoghiorghes,