Consider the Bivariate VAR(1) model with Rewrite the model in the VECM form and determine wheth...

Question

Question

Consider the Bivariate VAR(1) model

$Y_{t}= \prod _{1} y_{t-1} + \varepsilon _{t}$

with

$\prod _{1} = \begin{bmatrix} 0.5 & 1.5\\ -0.1 & 1.3 \end{bmatrix}$

Rewrite the model in the VECM form and determine whether the process has unit roots.

math Statistics-And-Probability

Answer 1

Answer #1

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Answer 2

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