Abstract:This study explores the interconnection between vector autoregressive (VAR) structures and state-space models and results in a compact framework for the representation of multivariate time-series, as well as the estimation of structural information. The corresponding methodology that is developed, applies the fact that every VAR process of order n may be described by an equivalent (non-unique) VAR model of first order, which is identical to a state-space realization. The latter uncovers many "hidden" informati… Show more
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