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

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

Calculate operational variances -planning variances, You have recently join... You have recently joined XYZ, an international company that produces a wide range of office supplies and stationary goods. In your new role as Group Management Accountant your firs

Introduction to statistical methods in psychology, you are studying the rel... you are studying the relationship between the number of academic credit hours graduate students spent studying Multicultural Counseling Skills and their current clients' overall pe

Probability tree., Modern hotels and certain establishments make use of an ... Modern hotels and certain establishments make use of an electronic door lock system. To open a door an electronic card is inserted into a slot. A green light indicates that the doo

Cost behavior/classificationq, Shipping costs on Merchandise sold--it is a ... Shipping costs on Merchandise sold--it is a variable cost, but is it a selling/adminstrative cost or product cost? Is it direct or indirect?

Standard deviation, how to get the standard deviation how to get the standard deviation

Surveys through schedules, Under this methods the enumerators are appointed... Under this methods the enumerators are appointed and given training. They are provided with schedules containing relevant questions. These enumerators go to respondents with the

Electric fields, what is the electric field at point x if q=7*10^-6 C d=6m what is the electric field at point x if q=7*10^-6 C d=6m

Semi average trend values, Year : 2008 2009 2010 2011 2012 2013 sale : 111 ... Year : 2008 2009 2010 2011 2012 2013 sale : 111 120 114 123 117 126

Introduction to finance and accounting, How can I use a balance sheet to do... How can I use a balance sheet to do assignment with some adjustment? do I have to make transaction of each adjustment, and after that I change the balance sheet afterward?

Average velocity profile-actual velocity profile, 1)  You are developing a ... 1)  You are developing a sampling protocol whereby you're going to insert a probe into a turbulent flow in a circular conduit of radius R. a. Using a description of a velocity p