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Model Reduction Methods for Vector Autoregressive Processes - Ralf Bruggemann - Bog

af Ralf Bruggemann

indgår i Lecture Notes in Economics and Mathematical Systems serien

Model Reduction Methods for Vector Autoregressive Processes af Ralf Bruggemann
Bag om Model Reduction Methods for Vector Autoregressive Processes

Therefore, he advo cated largely unrestricted reduced form multivariate time series models, unrestricted VAR models in particular. Unfortunately, the flexibility of these models causes severe problems: In an unrestricted VAR model, each variable is expressed as a linear function of lagged values of itself and all other variables in the system.

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  • Sprog:
  • Engelsk
  • ISBN:
  • 9783540206439
  • Indbinding:
  • Paperback
  • Sideantal:
  • 218
  • Udgivet:
  • 14. januar 2004
  • Udgave:
  • 12004
  • Størrelse:
  • 234x156x12 mm.
  • Vægt:
  • 750 g.
  • 8-11 hverdage.
  • 10. december 2024

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Therefore, he advo cated largely unrestricted reduced form multivariate time series models, unrestricted VAR models in particular. Unfortunately, the flexibility of these models causes severe problems: In an unrestricted VAR model, each variable is expressed as a linear function of lagged values of itself and all other variables in the system.

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