Historical Notes and Applications: (coming soon)
Mathematical Model:
These are the primitive equations in the Vector Autoregression Model (VAR)
Primitive Equations:
Next, write the above equations in matrix-vector notation:
To simplify the notation and calculations the following substitutions and notations will be generated:
The substitutions into can help write equation 1 and 2 in matrix-vector notation:
The formula for the vector x is composed of the the formula for B inverse, including this formula for the inverse in our calculations we get the final version of the vector x in the Vector Autoregression Model:
Using the above formula for the inverse of be we get the final vector:
Numerical Example: (Coming soon)
