MARGINALS OF MULTIVARIATE FIRST‐ORDER AUTOREGRESSIVE TIME SERIES MODELS

Antonie Stam and Steven C. Hillmer

Journal of Time Series Analysis, 1988, vol. 9, issue 1, 89-97

Abstract: This paper is concerned with the marginal models associated with a given multivariate first‐order autoregressive model. A general theory is developed to determine when reductions in the known orders of the marginal models will occur. When the auto‐regressive coefficient matrix has repeated eigenvalues, there may be global reductions in the marginal models. Zeros in the eigenvectors and generalized eigenvectors of the auto‐regressive coefficient matrix lead to local reductions in the marginal models. The case when the autoregressive parameter matrix has systematic zeros is also investigated.

Date: 1988
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https://doi.org/10.1111/j.1467-9892.1988.tb00456.x

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Persistent link: https://EconPapers.repec.org/RePEc:bla:jtsera:v:9:y:1988:i:1:p:89-97

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