Abstracts

Economics

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Structural information in recursive VAR offerings

Article Abstract:

Structural models that allow a Cholesky decomposition of the vector autoregressive model residuals' covariance matrix were studied to identify structural impulse response functions. Cholesky decompositions are useful in identifying the set of partially recursive structural models. This class of models were used in deriving from a Cholesky decomposition the appropriate conditions for the moving average representation in an attempt to identify structure.

Research, Analysis, Decomposition (Mathematics), Recursion theory, Matrices, Matrices (Mathematics)

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A Gibbs sampler for structural vector autoregressions

Article Abstract:

The development of accurate structural vector autoregression models is discussed.

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Estimating seemingly unrelated regression models with vector autoregressive disturbances

Article Abstract:

The authors develop an algorithm to solve analyses with two unknowns.

Regression analysis

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