Question: Prove Lemma 2.2. Data from Lemma 2.2. Lemma 2.2 For a VAR(p) model in Equation (2.21) with a, being a serially uncorrelated innovation process with

Prove Lemma 2.2.

Data from Lemma 2.2.

Lemma 2.2 For a VAR(p) model in Equation (2.21) with a, being

a serially uncorrelated innovation process with mean zero and positive-definite covariance a,

Lemma 2.2 For a VAR(p) model in Equation (2.21) with a, being a serially uncorrelated innovation process with mean zero and positive-definite covariance a, Cov(zt, at-1)=;a for j 0, where ; denotes the -weight matrix.

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