Econometrics is a field of statistics dealing with applications to economics.

learn more… | top users | synonyms (1)

4
votes
1answer
94 views
+100

Is there a convenient form for this large covariance matrix?

Consider the following bivariate vector autoregression: $$X_t=\mu +X_{t-1}A+\varepsilon_t,\ \varepsilon_t \overset{iid}{\sim} MVN(0, V),\ X_t=(X_{1,t},X_{2,t})',$$ where the assumptions on the ...