Kbiri, Mohammed Alaoui and Ghassan, Hassan Belkacem (2019): Model reduction in dynamical VAR systems. Published in: International Journal of Applied Mathematics and Statistics , Vol. 59, No. 3 (2020): pp. 12-20.
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Abstract
In this paper, we propose an alternative method that applies the model reduction techniques to the VAR framework when the number of variables is sufficiently large. The relevance of the model reduction in the VAR and SVAR systems comes from that the new trajectories preserve the qualitative properties of the initial trajectories. In economic analysis, this allows us to apprehend the underlying phenomena. Also, the resulting model is accurate, computationally less expensive, and based on the real meaning of the system.
| Item Type: | MPRA Paper |
|---|---|
| Original Title: | Model reduction in dynamical VAR systems |
| Language: | English |
| Keywords: | Complexity; Dynamic system; Dimension reduction; Economic analysis; Reduced VAR; Reduced structural VAR. |
| Subjects: | C - Mathematical and Quantitative Methods > C3 - Multiple or Simultaneous Equation Models ; Multiple Variables > C38 - Classification Methods ; Cluster Analysis ; Principal Components ; Factor Models C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C55 - Large Data Sets: Modeling and Analysis |
| Item ID: | 122971 |
| Depositing User: | Professor Hassan Ghassan |
| Date Deposited: | 17 Dec 2024 07:55 |
| Last Modified: | 17 Dec 2024 07:55 |
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| URI: | https://mpra.ub.uni-muenchen.de/id/eprint/122971 |
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