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(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







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
Related Questions
how p(x)=hyper geometric distribution is probability mass function

Anna is considering investing $150,000 by dividing it into three investments. But she is not sure how much to put in each one. The first investment is known to follow a uniform dis

Accounting Standards in  Europe  countries:   Europe has seen the maximum progress in having developed its accounting standards. In 2000, a document was published by the Europe

In the 2011 federal election, 30.6% of the electorate voted for the New Democratic Party (NDP). (a) A year later, a national poll of 1836 respondents indicated that 36% support the


Question: (a) Suppose that 100 tires made by Bridgestone last on average 21,819 miles with a standard deviation of 1,295 miles. Test the null hypothesis µ = 22, 000 miles again

#question:how cost classification can helpful for planning, controlling and decision making

goods returned by a customer Rs 2000 costing Rs 1900

what is probebility? and how to solve the sums of this?

Agglomerative hierarchical clustering methods/procedures Methods of cluster analysis that start with each individual in the separate cluster and then, in the series of steps, c