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 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...