Multivariate Subset Autoregression - Financial and Economic Forecasting (Chapter 3)
16 Pages Posted: 8 Jan 2003
Date Written: October 2002
Abstract
This chapter uses a modified block Choleski decomposition method and tree pruning algorithms to attain the best multivariate subset autoregression for each size (number of non-zero coefficient matrices). Model selection criteria are then employed to select the optimum multivariate subset AR. A Monte Carlo study of these techniques has been investigated to assess their performance, and comparisons of computational efficiency of the proposed procedures are also provided.
Keywords: block Choleski decomposition, Hocking's 1-lag reduction algorithm, leaps and bounds algorithm
JEL Classification: C22, C53, E31
Suggested Citation: Suggested Citation
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