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

Simulate a worm propagation considering no delay, You are required to simul...

You are required to simulate simple worm propagation in a medium-scale network by using discrete-time simulation technique. Assume that in an isolated network with IP address

Schedules, what are the characteristics of schedules

what are the characteristics of schedules

Power supply, A source of electrical power. A device or system which delive...

A source of electrical power. A device or system which delivers electrical and or other types of energy to a corresponding device or system. Are commonly referred to as PSU (Power

Probability, If there are 12 numbered balls in a basket (0-11), and you get...

If there are 12 numbered balls in a basket (0-11), and you get 6 chances to pick a ball what are the odds to get two of the same number, 3 of the same number, 4, 5 and 6. I would

Cash discount., Cash discount A payment received, given if payment is comp...

Cash discount A payment received, given if payment is completed within a stated age of occasion, Refer to TRADE DISCOUNT,

Quantitative research methods, I have four assignments that are due tomorro...

I have four assignments that are due tomorrow. Can you help?

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