Var representation of sutse model, statistics, Basic Statistics

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

Himself, how r yopu

how r yopu

Regression analysis, Regression line drawn as Y=C+1075x, when x was 2, and ...

Regression line drawn as Y=C+1075x, when x was 2, and y was 239. Given that y intercept was 11. Calculate the residual

Mean and standard deviation, We have two applicants who are applying for a ...

We have two applicants who are applying for a job. They both took the high school exit exam, but different ones. Shannon took the ACT and scored 26, Frank took the SAT scored 1350.

Probability, What is the probability 0.10 called?

What is the probability 0.10 called?

N345, An HIV educator wishes to determine whether the method of delivering ...

An HIV educator wishes to determine whether the method of delivering teaching influences adherence with antiretroviral therapy. She decides to measure adherence as viral load (a r

What is the point estimate for the mean amount, 1. What size sample will be...

1. What size sample will be needed to construct a 95% confidence interval on a ballot issue if the estimate must be 2% of the actual percent. This issue looks very close in the el

Analytical approach of strategy, 1. Comment on influence of study design, s...

1. Comment on influence of study design, sampling strategy and scale of measurement of outcome variable, on your choice of analytical approach Study design: the study design i

Gfg, fgf

fgf

#introduction to statistics, #A________variable is a variable whose values ...

#A________variable is a variable whose values are countable.

Frequency polygon, Differentiate between Historigrams and Histogram

Differentiate between Historigrams and Histogram

Write Your Message!

Name

Email id

Message

Verfication Code

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!

Submit Assignment

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