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...

Vector Autoregressive processes of order p (VAR(p)) with coefficient restrictions can be formulated as a SURE model. The response vectors and the coefficient matrices of the regression equations comprise columns from a Toeplitz matrix. Numerical and computational methods that solve the SURE...

The Vector Autoregressive (VAR) model with zero coefficient restrictions can be formulated as a Seemingly Unrelated Regression Equation (SURE) model. Both the response vectors and the coefficient matrix of the regression equations comprise columns from a Toeplitz matrix. Efficient numerical and...