Derive the error-correction form in Equation (5.68) for a (operatorname{VAR}(p)) model. P-1 Azt = zt-p+Azti + c(t)

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Derive the error-correction form in Equation (5.68) for a \(\operatorname{VAR}(p)\) model.

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Multivariate Time Series Analysis

ISBN: 9781118617908

1st Edition

Authors: Ruey S. Tsay

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Question Posted: May 08, 2024 01:12 AM

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Derive the error-correction form in Equation (5.68) for a (operatorname{VAR}(p)) model. P-1 Azt = zt-p+Azti + c(t)

Question:

P-1 Azt = zt-p+Azti + c(t) + (B)at, i=1 (5.68)

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Multivariate Time Series Analysis

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