Efficient strategies for deriving the subset VAR models

Computational Management Science

Volumn 2, Issue 4, 2005, Pages 253-278

  Gatu, Cristian ^a   Kontoghiorghes, Erricos John ^b,c  

^a UNIVERSITY OF NEUCHÂTEL   (Switzerland)

^b UNIVERSITY OF CYPRUS   (Cyprus)

^c UNIVERSITY OF LONDON   (United Kingdom)

Author keywords

Least squares; QR decomposition; Subset regression; SUR models; VAR models

Indexed keywords

EID: 27644433185     PISSN: 1619697X     EISSN: None     Source Type: Journal    
DOI: 10.1007/s10287-004-0021-x     Document Type: Article

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