Fdtxjr

Database Backup for data and log files

Why was Goose renamed from Chewie for the Captain Marvel film?

Are babies of evil humanoid species inherently evil?

Reversed Sudoku

Difference on montgomery curve equation between EFD and RFC7748

Can you reject a postdoc offer after the PI has paid a large sum for flights/accommodation for your visit?

What's the "normal" opposite of flautando?

How can The Temple of Elementary Evil reliably protect itself against kinetic bombardment?

Is it necessary to separate DC power cables and data cables?

How to draw cubes in a 3 dimensional plane

Is it possible to avoid unpacking when merging Association?

Are tamper resistant receptacles really safer?

Do I really need to have a scientific explanation for my premise?

weren't playing vs didn't play

Why would one plane in this picture not have gear down yet?

List elements digit difference sort

Bash script should only kill those instances of another script's that it has launched

How can I ensure my trip to the UK will not have to be cancelled because of Brexit?

Virginia employer terminated employee and wants signing bonus returned

Am I not good enough for you?

Why doesn't this Google Translate ad use the word "Translation" instead of "Translate"?

How is the wildcard * interpreted as a command?

When traveling to Europe from North America, do I need to purchase a different power strip?

meaning and function of 幸 in "则幸分我一杯羹"

why are the eigenvectors in cointegration test taken as estimates for cointegrating vectors?

How many possibilities for eigenvectors are there for one eigenvalue?Does common eigenvectors between two matrices A,B implies some property for the vectors?Prove that the eigenvectors are independent.Calculating the sum $frac12 sum x^T Sigma x$ for all $x in 0,1^n$What is the 'Algebraic' Dimension of $l^2(mathbbN)$?How Eigenvectors of $A^T$ are perpendicular to eigen vectors of A?Form of a matrix in a basis where some of the basis vectors are eigenvectorsAre the eigenvectors of $A^2$ the same as the eigenvectors for $A$? Are the lambdas just squared?Are vectors in the null space of a matrix considered eigenvectors?Modelling EUR/USD rate with Ornstein-Uhlenbeck model

0

$begingroup$

I am currently studying cointegration using Tsay's Multivariate Time Series Analysis.

when explaining the Cointegration Test(Johansen Test), the textbook explained the details of how the Likelihood Ratio Test was used. Particularly, it has used the product of the decomposed sample covariance matrix $Sigma_z$ to derive the ratio:

$hatSigma_11^-1hatSigma_10hatSigma_00^-1hatSigma_01g_i = lambda_ig_i$

p.s. the random vector $z_t=[z_0t', z_1t']$, hence the subscripts above.

It also mentioned $g_i$ gives rises to the linear combinations of $z_t$ hence $g_i$ is a feasible estimate of $beta$, the cointegrating vectors. This is what baffles me. I didn't see why this is the case.

To be honest, I don't see why the product of those four matrices was used here either, why do we multiply them to start with? what have I possibly missed here?

linear-algebra eigenvalues-eigenvectors time-series

share|cite|improve this question

asked 2 days ago

stucashstucash

1267

$endgroup$

add a comment | 

0

$begingroup$

I am currently studying cointegration using Tsay's Multivariate Time Series Analysis.

when explaining the Cointegration Test(Johansen Test), the textbook explained the details of how the Likelihood Ratio Test was used. Particularly, it has used the product of the decomposed sample covariance matrix $Sigma_z$ to derive the ratio:

$hatSigma_11^-1hatSigma_10hatSigma_00^-1hatSigma_01g_i = lambda_ig_i$

p.s. the random vector $z_t=[z_0t', z_1t']$, hence the subscripts above.

It also mentioned $g_i$ gives rises to the linear combinations of $z_t$ hence $g_i$ is a feasible estimate of $beta$, the cointegrating vectors. This is what baffles me. I didn't see why this is the case.

To be honest, I don't see why the product of those four matrices was used here either, why do we multiply them to start with? what have I possibly missed here?

linear-algebra eigenvalues-eigenvectors time-series

share|cite|improve this question

asked 2 days ago

stucashstucash

1267

$endgroup$

add a comment | 

$begingroup$

I am currently studying cointegration using Tsay's Multivariate Time Series Analysis.

when explaining the Cointegration Test(Johansen Test), the textbook explained the details of how the Likelihood Ratio Test was used. Particularly, it has used the product of the decomposed sample covariance matrix $Sigma_z$ to derive the ratio:

$hatSigma_11^-1hatSigma_10hatSigma_00^-1hatSigma_01g_i = lambda_ig_i$

p.s. the random vector $z_t=[z_0t', z_1t']$, hence the subscripts above.

It also mentioned $g_i$ gives rises to the linear combinations of $z_t$ hence $g_i$ is a feasible estimate of $beta$, the cointegrating vectors. This is what baffles me. I didn't see why this is the case.

To be honest, I don't see why the product of those four matrices was used here either, why do we multiply them to start with? what have I possibly missed here?

linear-algebra eigenvalues-eigenvectors time-series

share|cite|improve this question

asked 2 days ago

stucashstucash

1267

$endgroup$

share|cite|improve this question

asked 2 days ago

stucashstucash

1267

share|cite|improve this question

asked 2 days ago

stucashstucash

1267

asked 2 days ago

stucashstucash

1267

asked 2 days ago

stucashstucash

1267