Question: Suppose the process from Problem 17.1 is in operation until period T1 and after that another periodic VAR(1) process of the same type but with

Suppose the process from Problem 17.1 is in operation until period T1 and after that another periodic VAR(1) process of the same type but with different coefficients generates a set of variables. Define dummy variables in such a way that the complete process can be written in the form (17.1.3)–(17.1.5).

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