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:

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

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

Many thanks in advance.

Posted Date: 3/3/2012 2:21:51 PM | Location : United States

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