\(\def\bfy{{\bf y}} \def\bfA{{\bf A}} \def\bfB{{\bf B}} \def\bfu{{\bf u}} \def\bfI{{\bf I}} \def\bfe{{\bf e}} \def\bfC{{\bf C}} \def\bfsig{{\boldsymbol \Sigma}}\)In my last post, I discusssed estimation of the vector autoregression (VAR) model, \begin{align} \bfy_t &= \bfA_1 \bfy_{t-1} + \dots + \bfA_k \bfy_{t-k} + \bfe_t \tag{1} \label{var1} \\ E(\bfe_t \bfe_t’) &= \bfsig \label{var2}\tag{2} \end{align} where \(\bfy_t\) is a vector of […]
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