682
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678
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where [[latex($u_t\sim \mathcal N\left( 0,\Sigma_u\right)$)]]. Let [[latex($z_t$)]] be the [[latex($mp\times 1$)]] vector [[latex($\left[ y_{t-1}',...,y_{t-p}'\right]'$)]] and define [[latex($\mathbf{A}=\left[\mathbf A_1',...,\mathbf A_p'\right]'$)]], the VAR representation can then be written in matrix form as: |
where [[latex($u_t\sim \mathcal N\left( 0,\Sigma_u\right)$)]]. Let [[latex($z_t$)]] be the [[latex($mp\times 1$)]] vector [[latex($\left[y_{t-1}',...,y_{t-p}'\right]'$)]] and define [[latex($\mathbf{A}=\left[\mathbf A_1',...,\mathbf A_p'\right]'$)]], the VAR representation can then be written in matrix form as: |
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Consider the order latex($p$) VAR representation for the latex($1\times m$) vector of observed variables latex($y_t$):
where latex($u_t\sim \mathcal N\left( 0,\Sigma_u\right)$). Let latex($z_t$) be the latex($mp\times 1$) vector latex($\left[y_{t-1}',...,y_{t-p}'\right]'$) and define latex($\mathbf{A}=\left[\mathbf A_1',...,\mathbf A_p'\right]'$), the VAR representation can then be written in matrix form as: