Question: A VAR model fitted to data with significant cross-correlation and contemporaneous-correlation amongst the multiple time series is expected to have error terms that contemporaneously correlated.
A VAR model fitted to data with significant cross-correlation and contemporaneous-correlation amongst the multiple time series is expected to have error terms that contemporaneously correlated.
T OR F?
Step by Step Solution
There are 3 Steps involved in it
Get step-by-step solutions from verified subject matter experts
