Estimating all possible SUR models with permuted exogenous data matrices derived from a VAR process

Journal of Economic Dynamics and Control

Volumn 30, Issue 5, 2006, Pages 721-739

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

^a UNIVERSITY OF NEUCHÂTEL   (Switzerland)

^b UNIVERSITY OF CYPRUS   (Cyprus)

^c UNIVERSITY OF LONDON   (United Kingdom)

Author keywords

Combinatorial algorithms; Least squares; QR decomposition; Seemingly Unrelated Regressions models; Subset Vector Autoregressive model selection

Indexed keywords

EID: 33645933297     PISSN: 01651889     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jedc.2005.03.006     Document Type: Article

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