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

Gatu, Cristian; Kontoghiorghes, Erricos John - In: Journal of economic dynamics & control 30 (2006) 5, pp. 721-739

Persistent link: https://www.econbiz.de/10003317074

An efficient branch-and-bound strategy for subset vector autoregressive model selection

Gatu, Cristian; Kontoghiorghes, Erricos J.; Gilli, Manfred - In: Journal of economic dynamics & control 32 (2008) 6, pp. 1949-1963

Persistent link: https://www.econbiz.de/10003732828

A generalized singular value decomposition strategy for estimating the block recursive simultaneous equations model

Cosbuc, Mircea I.; Gatu, Cristian; Colubi, Ana; … - In: Computational economics 50 (2017) 3, pp. 503-515

Persistent link: https://www.econbiz.de/10011783334

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

Gatu, Cristian; Kontoghiorghes, Erricos J. - In: Journal of economic dynamics & control 30 (2006) 5, pp. 721-740

Persistent link: https://www.econbiz.de/10007259884

An efficient branch-and-bound strategy for subset vector autoregressive model selection

Gatu, Cristian; Kontoghiorghes, Erricos J.; Gilli, Manfred - In: Journal of economic dynamics & control 32 (2008) 6, pp. 1949-1963

Persistent link: https://www.econbiz.de/10008057626

An efficient branch-and-bound strategy for subset vector autoregressive model selection

Gatu, Cristian; Kontoghiorghes, Erricos J.; Gilli, Manfred - In: Journal of economic dynamics & control 32 (2008) 6, pp. 1949-1964

Persistent link: https://www.econbiz.de/10008892929

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

Gatu, Cristian; Kontoghiorghes, Erricos J. - In: Journal of Economic Dynamics and Control 30 (2006) 5, pp. 721-739

Persistent link: https://www.econbiz.de/10005160941

An efficient branch-and-bound strategy for subset vector autoregressive model selection

Gatu, Cristian; Kontoghiorghes, Erricos J.; Gilli, Manfred - In: Journal of Economic Dynamics and Control 32 (2008) 6, pp. 1949-1963

A computationally efficient branch-and-bound strategy for finding the subsets of the most statistically significant variables of a vector autoregressive (VAR) model from a given search subspace is proposed. Specifically, the candidate submodels are obtained by deleting columns from the...

Persistent link: https://www.econbiz.de/10005229811

A graph approach to generate all possible regression submodels

Gatu, Cristian; Yanev, Petko I.; Kontoghiorghes, Erricos J. - In: Computational Statistics & Data Analysis 52 (2007) 2, pp. 799-815

Persistent link: https://www.econbiz.de/10005118390

Efficient strategies for deriving the subset VAR models

Gatu, Cristian; Kontoghiorghes, Erricos - In: Computational Management Science 4 (2005) 4, pp. 253-278

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...

Persistent link: https://www.econbiz.de/10005370544