Coefficient Matrices Computation of Structural Vector Autoregressive Model
Numerical Analysis
2014-02-11 v3 Computation
Abstract
In this paper we present the Large Inverse Cholesky (LIC) method, an efficient method for computing the coefficient matrices of a Structural Vector Autoregressive (SVAR) model.
Cite
@article{arxiv.1309.6290,
title = {Coefficient Matrices Computation of Structural Vector Autoregressive Model},
author = {Aravindh Krishnamoorthy},
journal= {arXiv preprint arXiv:1309.6290},
year = {2014}
}
Comments
2pp; pre-publication