1
Return

Matrix-valued AutoRegressive (MAR) models in gretl

delete2026-02-24
delete1
PRE
AI
A
Andrea Fares Bucci
G
Giulio Palomba
M
Marco Tedeschi *
DOI：10.1007/s00180-025-01681-8delete
deleteOriginal
deleteOriginal request for help
deleteShare
deleteSave
Abstract

Abstract

En 中文
This paper describes the first version of the MAR package, designed to estimate Matrix-valued Auto-Regressive (MAR) models in gretl. The current version of the package estimates the MAR(1) model via two techniques: Least Squares Estimation (LSE) and Maximum Likelihood Estimation (MLE). It provides standard estimation output in gretl formats, including estimated coefficients, standard errors, t-statistics, p-values, and some basic regression statistics. The package also calculates and displays the impulse response functions. For ease of use, the package includes a simple Graphical User Interface (GUI), while offering full functionality via the gretl scripting language. Two examples, one using real data and the other using simulated data, illustrate its relevance in economic modeling.
Keywords:
Matrix-AutoRegressive model
Multivariate time-series analysis
gretl

Journal

C
Computational Statistics
IF:
1.4
Papers:
85
Citations:
2.2K

Organization

M
Marche Polytechnic University
Scholars:
1.1W
Papers: 9.4K
Citations: 1.1W
University of Macerata cover
University of Macerata
Scholars:
419
Papers: 455
Citations: 888
Cited Papers

Cited Papers

Citing Papers

Citing Papers