ISyE 6402 Study guides, Class notes & Summaries

ISyE 6402 Midterm Prep| with complete solution

ISyE 6402 Midterm Prep (2023/2024) Already Passed Getting a 3 variable VAR model from summary(model) output of a VAR(1) model first matrix: first row are coefficients for Xt1, second row are coefficients for Xt2, etc... second matrix is Xt-1, i b/c this is a VAR(1) model last matrix are the constants eta_t is covariance matrix, direct copy (c) Based on the fitted model, is there contemporaneous cross-correlation? Is there lagged cross-correlation? Is there lagged auto-correlation? Explain. con...

ISyE 6402 Midterm Prep With Complete Solutions 2023/2024

ISyE 6402 Midterm Prep With Complete Solutions 2022/2023

ISyE 6402 Midterm Prep With Complete Solutions 2022/2023

ISyE 6402 Midterm Prep With Complete Solutions 2022/2023

Getting a 3 variable VAR model from summary(model) output of a VAR(1) model first matrix: first row are coefficients for Xt1, second row are coefficients for Xt2, etc... second matrix is Xt-1, i b/c this is a VAR(1) model last matrix are the constants eta_t is covariance matrix, direct copy (c) Based on the fitted model, is there contemporaneous cross-correlation? Is there lagged cross-correlation? Is there lagged auto-correlation? Explain. contemporaneous cross-correlation is ...