Questions tagged [eigenvalue]

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1answer
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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-...
3
votes
1answer
59 views

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/...
2
votes
1answer
25 views

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?
2
votes
0answers
87 views

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 ...