Algorithms for computing the subset Vector Autoregressive (VAR) models are proposed. These algorithms can be used to choose a subset of the most statistically-significant variables of a VAR model. In such cases, the selection criteria are based on the residual sum of squares or the estimated...

The main computational tool for solving SUR or simultaneous equations models is the generalized QR decomposition (GQRD) of an exogenous matrix A and the Cholesky factorization of a dispersion matrix C. Initially the GQRD computes the QRD of A and then the RQD of QC, where Q is an orthogonal...