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Published in:
2013 | OriginalPaper | Chapter
Robust Estimation of Vector Autoregression (VAR) Models Using Genetic Algorithms
Authors : Ronald Hochreiter, Gerald Krottendorfer
Published in: Applications of Evolutionary Computation
Publisher: Springer Berlin Heidelberg
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In this paper we present an implementation of a Vector autoregression (VAR) estimation model using Genetic Algorithms. The algorithm was implemented in R and compared to standard estimation models using least squares. A numerical example is presented to outline advantages of the GA approach.