Questions tagged [eigenvalue]
The eigenvalue tag has no usage guidance.
4 questions
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How can I compare degree of stability (or persistency) in two dynamic systems/models?
Let's say I have two dynamic VAR models for two countries. What is the best way to compare persistency or degree of stability in the two models. Use eigenvalues of the two systems?
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Visualising eigenvectors/values
This might seem like an odd question but seeing as I haven't had any formal education in solving ratex models yet, it is something I have been thinking about a lot recently. Consider the following ...
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How can I write a conditional expectation of finite state markov process in matrix notation
NOTE: This question is related to the econometric method explored in the following two questions:
Multiplicative factorization of stochastic growth time series--solving for an eigenfunction/...
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Multiplicative factorization of stochastic growth time series--solving for an eigenfunction/eigenvector
I'm trying to understand the tools used/presented in Lars Hansen's Econometrica paper "Dynamic Valuation Decomposition within Stochastic Economies." In a part in the paper, Hansen introduces a long-...
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