NUMERICAL SOLUTION OF SURE MODELS DERIVING FROM VAR(P) PROCESSES

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 models by efficiently exploiting the Toeplitz structure of the coefficient matrix are proposed. The adaptation of the methods to solve VAR(p) models with Granger-caused variables are also discussed.