Login

Create Account
Customer Service Chat
+14156709189
info@expertsmind.com
Submit Homework/Assignment
Get quote & make Payment
Get Solution
Var representation of sutse model, statistics, Basic Statistics
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(t1) + 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(t1) + 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
Ask an Expert
Related Discussions:
Var representation of sutse model, statistics, Assignment Help, Ask Question on Var representation of sutse model, statistics, Get Answer, Expert's Help, Var representation of sutse model, statistics Discussions
Write discussion on Var representation of sutse model, statistics
Your posts are moderated
Write your message here..
Related Questions
Multiple linear regression, #multiple linear regression of y on x1 & x2 fro...
#multiple linear regression of y on x1 & x2 from data relating to 3 variables i.e y=4,6,77,9,13,15 x1=15,12,8,6,4,8 x2=30,24,20,14,10,4
Characteristics, explain the characteristics of statistics
explain the characteristics of statistics
Define overtime pay, Define Overtime Pay Extra time represents time wor...
Define Overtime Pay Extra time represents time worked in excess of 40 times weekly. Whether or not workers are bought overtime will depend on each worker's job obligations and
Rebate, Refund can be defined as return of a part of a purchase price by a ...
Refund can be defined as return of a part of a purchase price by a seller to a buyer, usually on a purchase of a specified quantity or a value of goods within a specified period.
How to choose a sample, Q. How to Choose a Sample? The way a sample is ...
Q. How to Choose a Sample? The way a sample is chosen is extremely important in all statistical studies. This is because, ultimately, all the inferences will be based on the s
Define Ancillary costs, Define Ancillary costs Expenditures that is direct...
Define Ancillary costs Expenditures that is directly attributable to resource acquisition, such as freight and transportation costs, site preparation costs, and professional charg
Compute spss and confidence interval , A researcher is interested in charac...
A researcher is interested in characteristics of HIV+ and HIV adolescents interviewed 166 young adults about their experiences during adolescence. He wished to know, among other
Earliest due date, Q1.(i) A manufacturing firm has previously sequenced i...
Q1.(i) A manufacturing firm has previously sequenced its jobs using the "Shortest Operation Time" (SOT) rule. This has resulted in poor delivery performance with many jobs being
Find a strategy which replicates the payoff, Rocco works for an internation...
Rocco works for an international arms dealer who has just publicly listed. What with the world being how it is these days, there's money to be made on more than just selling the to
Projectile motion, A fox fleeing from a hunter encounters a 0.730 m tall fe...
A fox fleeing from a hunter encounters a 0.730 m tall fence and attempts to jump it. The fox jumps with an initial velocity of 7.10 m/s at an angle of 45.0°, beginning the jump 2.1
Assignment Help
Accounting Assignment Help
Economics Assignment Help
Finance Assignment Help
Statistics Assignment Help
Physics Assignment Help
Chemistry Assignment Help
Math Assignment Help
Biology Assignment Help
English Assignment Help
Management Assignment Help
Engineering Assignment Help
Programming Assignment Help
Computer Science Assignment Help
IT Courses and Help
ExpertsMind Services
Online Tutoring
Projects Assistance
Exam Preparation
Coursework Help
Programming Courses
Engineering Courses
Why Us ?
~Experienced Tutors
~24x7 hrs Support
~Plagiarism Free
~Quality of Work
~Time on Delivery
~Privacy of Work