Write down the transformation matrix

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Question: Consider the three SCMs of given problem. If the maximum elements, in absolute value, of the three rows of the transformation matrix T are (1,1), (2,3), and (3,2), respectively. Write down the transformation matrix T that consists of only estimable parameters. How many parameters does the resulting VARMA model contain? Again, you may include the constant vector, but not the Σa covariance matrix.

Problem: Write down the structure of a three-dimensional VARMA model if the vector time series has the following three components: SCM(0,0), SCM(0,1), and SCM(2,1). Are there any redundant parameters? Why?

Reference no: EM131441331

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