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

Business combination, i need help on pratical problem

i need help on pratical problem

Use this information to construct the 90% and 95% confidence, From random s...

From random sample of 48 days in a recent year, U.S. gasoline prices had a mean of $3.63. Assume the population standard deviation is $0.21?

Is venus geologically active, Is Venus geologically active? -It is almost ...

Is Venus geologically active? -It is almost certain that Venus, a planet almost of the same size as earth is geologically active. Recent studies show that there is Volcanic and t

Frequency polygon, Differentiate between Historigrams and Histogram

Differentiate between Historigrams and Histogram

Rockford Practice Set 14th Edition, I need help with the adjusting entries....

I need help with the adjusting entries.

Quantive technique, what are the component of the queue

what are the component of the queue

PROBABILITY DISTRIBUTIONS, a). Show that if a random variable has a uniform...

a). Show that if a random variable has a uniform density with the parameters a and ß, the probability that it will take on a value less than a+p(ß-a) is equal to p b). Prove that t

Budgetary accounts, Budgetary accounts Accounts used to go through the ado...

Budgetary accounts Accounts used to go through the adopted budget into the all-purpose ledger as part of the administration control method of formal budgetary addition.

Find out value of the probability, Q1 Choose the option that is closest to...

Q1 Choose the option that is closest to the exact value of the probability P (30 ≤ X Q2 Choose the option that is closest to the approximate value of the probability P

T, #how will understand question..moving average method problems for 4year...

#how will understand question..moving average method problems for 4yearly&5yearly also

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