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

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...