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Determining first element of an AR1 model

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#time-series #vector-auto-regression
138
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Collinearity in Vector Autoregression and Impulse Response (Time Series)

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#statistics #time-series #vector-auto-regression
37
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Can an autoregressive process of order $k$ be expressed as a $k$-step Markov chain?

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#stochastic-processes #markov-chains #time-series #transition-matrix #vector-auto-regression
687
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AR(1) to Ornstein-Uhlenbeck for AR(1) process of the form $\ln z_{t+1}=\rho \ln z_t+\sigma \sqrt{(1-\rho^2)}\epsilon_t$

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#stochastic-processes #vector-auto-regression
93
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High F-Statistic Value and negative Probability for Granger Causality Result, Interpretation?

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#probability #statistics #hypothesis-testing #vector-auto-regression
598
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Running coint_johansen cointegration test gives : LinAlgError: Matrix is not positive definite

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#time-series #python #vector-auto-regression
119
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How do I derive the following expression for the sum of orthogonal matrices?

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#linear-algebra #matrices #vector-spaces #orthogonal-matrices #vector-auto-regression
166
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Random Coefficient AR(1) and Kalman filtering

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#conditional-expectation #kalman-filter #vector-auto-regression
543
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Precision matrix of AR(2) matrix

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#stochastic-processes #covariance #vector-auto-regression
70
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Understanding Moving Average Models

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#average #time-series #vector-auto-regression
54
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Smooth autoregressive model

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#matrices #upper-lower-bounds #vector-auto-regression
80
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Simulate autoregressive model

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#linear-algebra #matrices #upper-lower-bounds #vector-auto-regression
137
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What are the instruments in a panel p-var? (vector autoregression)

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#vector-auto-regression
58
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Cointegrated multivariate time series - question about a derivation

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#linear-algebra #statistics #stationary-processes #vector-auto-regression
24
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In search of vector autoregression models supporting uniform bounds on coordinate-wise derivatives

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#lipschitz-functions #time-series #regression-analysis #discrete-time #vector-auto-regression

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