Var representation of sutse model, statistics, Basic Statistics

Assignment Help:
Dear expert,
Assume that we have a multivariate unobserved component model (or SUTSE, seemingly unrelated time series equation model) in STATE SPACE form, that is:

Y(t) = H A(t) + eps
A(t) = T A(t-1) + eta,

where A(t) is the unobserved component and equal to: A(t) = [a1t, a2t].

I am interested in the VAR(..) vector autoregressive form of this model. Moreover, how can we rewrite the SUTSE model in the following representation:

Y(t) = B Y(t-1) + additional terms if so, so what is exactly B following from the state space form above?

Some helpfull articles where they show it for an another case:

https://ic.ucsc.edu/~fravenna/home/ravenna_revision1_bde.pdf (page 45)

https://ic.ucsc.edu/~fravenna/home/ravenna_revision1_bde.pdf

Many
thanks in advance.

Related Discussions:- Var representation of sutse model, statistics

Psy 1110 Ohio University, do you give the answers with the way you figured ...

do you give the answers with the way you figured the problem out?..

Define salaries, Define Salaries Incomes are usually associated with "wh...

Define Salaries Incomes are usually associated with "white-collar" employees such as employees in offices, supervisors, experts, and experts. Paid employees are often paid semi-

Cash flow analysis, Cash flow analysis In financial sales, an income rep...

Cash flow analysis In financial sales, an income report, also known as report of money runs or funds circulation report is a financial report that shows how changes in stability

Do you think the change towards ifrs is a good idea, Do you think the chang...

Do you think the change towards IFRS is a good idea? Manager 1: This change is definitely going to be a very positive change. There are no doubt a lot of advantages that IFRS

How to calculate mean?, Mean The mean is commonly the most significant ...

Mean The mean is commonly the most significant of all the numerical measurements used to describe data, and it is what the most people call an average. Example  Find

Mineral water factory., what is the point that i have to konow about the co...

what is the point that i have to konow about the cost accounting inorder to eneter in job

Amp-amplification law, Amp-amplification law The job of an amplifier is o...

Amp-amplification law The job of an amplifier is obviously to amplify, but the law it abides by isn’t so simple. Ultimately, the amplifier is comparable to a valve, in the sense

Distribution values, find a distribution with 10 values between 0 and 10 th...

find a distribution with 10 values between 0 and 10 that has as large a variance as possible

Sta, explain two charateristics.and two aapplication ofics statist

explain two charateristics.and two aapplication ofics statist

Write Your Message!

Captcha
Free Assignment Quote

Assured A++ Grade

Get guaranteed satisfaction & time on delivery in every assignment order you paid with us! We ensure premium quality solution document along with free turntin report!

All rights reserved! Copyrights ©2019-2020 ExpertsMind IT Educational Pvt Ltd