yt E(yt ) = µ

yt I(d)
d=1
∆yt = yt − yt−1 yt
 Yt Yt = (zt , xt , vt )

p p p
zt = c1 + φ1 1 1
11 zt−1 + ... + φ11 zt−p + φ12 xt−1 + ... + φ12 xt−p + φ13 vt−1 + ... + φ13 vt−p + a1t
p p p
xt = c 2 + φ1
21 z t−1 + ... + φ 21
z t−p + φ 1
22 x t−1 + ... + φ 22
x t−p + φ 1
23 vt−1 + ... + φ23 vt−p + a2t
p p p
vt = c3 + φ1 z
31 t−1 + ... + φ z
31 t−p
+ φ1
x
32 t−1 + ... + φ x
32 t−p
+ φ 1
v
33 t−1 + ... + φ v
33 t−p
+ a3t

Yt = C + Φ1 Yt−1 + ... + Φp Yt−p + at

E(at ) = 0 E(at a′s ) = Ω t=s 0 p

Φn
⎡ ⎤
φn11 φn12 φn13
Φn = ⎣ φ21 φn22 φn23 ⎥
⎢ n
⎦
φn31 φn32 φn33

(k × k) k Yt−n
⎡ ⎤
zt−n
⎢ ⎥
Yt−n = ⎣ xt−n ⎦
vt−n

(1 × k)

Yt − Φ1 Yt−1 + ... − Φp Yt−p = C + at ,

Yt (1 − Φ1 L + ... − Φp Lp ) = Φ(L)Yt = C + at ,
Φ(L) (k × k) L
ij φ(L)

[δij − φ1ij L... − φpij Lp ]

δij = 1 i=j i ̸= j

|Ik − Φ1 L + ... − Φp Lp | = 0

Yt = µ + at + Ψ1 at−1 + Ψ2 at−2 + ... = µ + Ψ(L)at

µ = (Ik − Φ1 − Φ2 − ... − Φp )−1 c Ψ(L) = (Ik + Ψ1 L + Ψ2 L + ...)
Ψ0 = I

⎡ ⎤ ⎡ ⎤ ⎡ ⎤ ⎡ ⎤
Yt C Yt−1 at
⎢ ⎥ ⎢ ⎥ ⎢ ⎥ ⎢ ⎥
⎢
⎢
Yt−1 ⎥
⎥
⎢
⎢
0 ⎥
⎥
⎢
⎢
Yt−2 ⎥ ⎢
⎥ ⎢
0 ⎥
⎥
⎢ Yt−2 ⎥ ⎢ 0 ⎥ ⎢ Yt−3 ⎥ ⎢ 0 ⎥
⎢ ⎥=⎢ ⎥+B⎢ ⎥+⎢ ⎥
⎢ ⎥ ⎢ ⎥ ⎢ ⎥ ⎢ ⎥
⎢ ⎥ ⎢ ⎥ ⎢ ⎥ ⎢ ⎥
⎣ ⎦ ⎣ ⎦ ⎣ ⎦ ⎣ ⎦
Yt−p−1 0 Yt−p 0
 B 0 Ik Φ

Y = BZ + A

B Φ

B̂ = (Z ′ Z)−1 Z ′ Y

k T +p
p+1
p
Yt

f (YT , YT −1 , ..., Y1 |Y0 , Y1 , ..., Y−p+1 ; θ)

θ C, Φ1 , ..., Φp Ω
yt y t−1

C + Φ1 yt−1 + Φ2 yt−2 + ... + Φp yt−p

at ∼ N (0, Ω)

yt |yt−1 , ..., yt−p ∼ N (C + Φ1 yt−1 + Φ2 yt−2 + ... + Φp yt−p , Ω)

Π′ = [CΦ1 Φ2 ...Φp ]

Xt′ = [1Yt−1 Yt−2 ...Yt−p ]

Yt = Π′ Xt + at

yt |yt−1 , ..., yt−p ∼ N (Π′ Xt , Ω)

 yt |yt−1 , ..., yt−p

fyt |yt−1 ,...,yt−p (yt |yt−1 , ..., yt−p , θ) =

= (2π)−k/2 |Ω−1 |−1/2 exp[(−1/2)(yt − Π′ Xt )′ Ω−1 (yt − Π′ Xt )]

1 t y0 , y1 , ..., y−p+1

fyt yt−1 ,...,y1 |y0 ,y1 ,...,y−p+1 (yt yt−1 , ..., y1 |y0 , y1 , ..., y−p+1 ; θ) =

= fyt−1 ,...,y1 |y0 ,y1 ,...,y−p+1 (yt−1 , ..., y1 |y0 , y1 , ..., y−p+1 ; θ)
×fyt |yt−1 ,yt−2 ,...,y−p+1 (yt |yt−1 , yt−2 , ..., y−p+1 ; θ)

yT , yT −1 , ..., yT −p y0 , y1 , ..., y−p+1

fyT ,yT −1 ,...,y1 |y0 ,y1 ,...,y−p+1 (yT , yT −1 , ..., y1 |y0 , y1 , ..., y−p+1 ; θ) =

T
'
= fyt |yt−1 ,yt−2 ,...,y−p+1 (yt |yt−1 , yt−2 , ..., y−p+1 ; θ)
t=1

t
(
L(θ) = logf (Yt |past; θ)
t=1

L(θ) = −(T k/2)log(2π) + (T /2)log|Ω−1 |

T )
( *
−(1/2) (Yt − Π′ Xt )′ Ω−1 (Yt − Π′ Xt )
t=1

Yt Zt

Π̂k×(kp×1) Ω̂k×k
 + T
,−1 + T
,
( (
Π̂ = Xt′ Xt Xt′ Yt
t=1 t=1

T
(
Ω̂ = (1/T ) ât â′t
t=1

ât = Yt − Π̂′ Xt

Π̂ Ω̂.

T )
( *
L(Π̂, Ω̂) = −(T k/2)log(2π) + (T /2)log|Ω̂−1 | − (1/2) â′t Ω̂.1 ât
t=1

T n/2

L(Π̂, Ω̂) = −(T k/2)log(2π) + (T /2)log|Ω̂−1 | − (T n/2)

p1
p0 p1 > p 0 Ω̂0 Ω̂1
L0 L1

2(L1 − L0 ) = T {log|Ω̂0 | − log|Ω̂1 |}

χ2 (k 2 (p1 −p0 )) p1 −p0

k(p1 − p0 )
k k 2 (p1 − p0 ).
p1
L1
 p0

L0

p1 = 4 p0 = 3
k = 2) T = 46

+ ,
2.0 1.0
Ω̂0 =
1.0 2.5

+ ,
1.8 0.9
Ω̂1 =
0.9 2.2

2(L1 − L0 ) = 46(1.386 −

22 (4 − 3) = 4 10.99 > 9.49

2
χ (4)

Π̂
j
yt−p
j h
yt−p−1 yt−p
Π

Yt = µ + at + Ψ1 at−1 + Ψ2 at−2 + ... = µ + Ψ(L)at

Ψ̂ Π̂
 i

∞
( y
yti = γi + ψijp at−p
j

t=0

ψijp j i p
ytj

ψijp

E(at a′t ) = Ω
Ω

aP IB,t ainf l,t

ψ

C(L) = Ψ(L)Ω1/2
ηt = Ω−1/2 at

Yt = µ + Ψ(L)Ω1/2 Ω−1/2 at = µ + C(L)ηt

i
∞ (
( n
yti = µi + cpij ηt−p
j

p=0 j=1

cpij j
ηt−p
yti
 cpij
ηt

c2P IB,inf l

yt
xt yt
xt yt
xt , s>0 xt+s
(xt , xt−1 , ...)
xt+s (xt , xt−1 , ...) (yt , yt−1 , ...)

M EC[E(xt+s |xt , xt−1 , ...)] = M EC[E(xt+s |xt , xt−1 , ..., yt , yt−1 , ...)]

yt xt
Φj j
 + , + , + ,+ ,
xt c1 φ111 0 xt−1
= + +
yt c2 φ121 φ122 yt−1

+ ,+ , + ,+ ,
φ211 0 xt−2 φp11 0 xt−p
+ + ... + +
φ221 φ222 yt−2 φp21 φp22 yt−p

+ ,
a1t
+
a2t

yt xt
xt

xt = c1 + φ111 xt−1 + φ211 xt−2 + ... + φp11 xt−p

+φ112 yt−1 + φ212 yt−2 + ... + φp12 yt−p + a1t

H0 : φ112 = φ212 = ... = φp12 = 0

yt
yt xt
RSS1 =
-T 2
t=1 â1t -T
yt
2
RSS0 = t=1 ê1t

(RSS0 − RSS1 )/p

S1 =
RSS1 (T − 2p − 1)

5 F (p, T −
2p − 1)
yt xt
 j
∞ (
( n
yti = µi + cpij ηt−p
j

p=0 j=1

Yt = µ + Ψ(L)Ω1/2 Ω−1/2 at = µ + C(L)ηt

C(L) = Ψ(L)Ω1/2
ηt = Ω−1/2 at

C(L) Ψ(L)

Φj
1/2
C(L) = Ψ(L)Ω

Ĉ(L) = Ψ̂(L)Ω̂1/2
1 -T
Ω̂ = T i=1 âit â′it

Φj
Ω1/2 Ω1/2

W = Ω1/2 WW′ = Ω

⎡ w11 w12 ... w1m

⎤⎡ w11 w21 ... wm1
⎤ ⎡ σ11 σ12 ... σ1m
⎤
w21 w22 ... w2m w12 w22 ... wm2 σ21 σ22 ... σ2m
⎣ ⎦⎣ ⎦=⎣ ⎦.
wm1 wm2 ... wmm w1m w2m ... wmm σm1 σm2 ... σmm

m2
m2
 Ω m2

Ω i j j i
m
( m
(
σij = wik wjk = wjk wik = σji
k=1 k=1

m2 − m m(m + 1)
m2 − =
2 2

m2 w11 , w12 , ..wmm ) Ω1/2

(m2 − m)/2 W
wij = 0 i<j
W
⎡ ⎤
0 0 ... 0
⎢
⎢ w21 0 ... 0 ⎥
⎥
W =⎢
⎢
⎥
⎥
⎣ ⎦
wm1 wm2 ... 0

ηt Ω−1/2 at = W −1 at W η t = at

ayt 1 = w11 ηt1

ayt 2
= w12 ηt1 + w22 ηt2
ayt 3 = w13 ηt1 + w23 ηt2 + w33 ηt3

ηt1 ayt 1

ηt2 = E[ayt 2 |ayt 1 ) = E(w12 ηt1 + w22 ηt2 |ayt 1 ) = w12 E(ηt1 |ayt 1 ) + w22 E(ηt2 |ayt 2 ) =

= w12 w111 ayt 1 + w22 0 E(ηt2 |ayt 2 ) = Cov(ηt2 , ayt 1 ) = w11 Cov(ηt1 , ηt2 ) = 0.

w12 y1
ηt2 = a
w11 t
 w22 ηt2 = ayt 2 − w12 ηt1 = ayt 2 − E(ayt 2 |ayt 1 ).

1 ) yj y y
*
ηtj = at − E(at j |ayt 1 , ayt 2 , ayt 3 ..., at j−1 ) .
wjj

ηt1
ηt2
ηt1

W
+ ,
a b
W =
0 c

ηt1 = ηtd ηt2 = ηto

+ , + ,+ ,
inf lacion a b ηtd
= Ψ(L)
output 0 c ηt0

Ψ0 = I Co = Ψo Ω1/2 =
1/2 1/2
Ω Ω = W
C0 Y
ηt
 C(L)

Lnyt1 − Lnyt−1
1
yt2

+ , ∞
Lnyt1 − Lnyt−1
1 (
2 =γ+ Ψp at−p
yt p=0

+ ,
ηtd
at = W , cov(ηtd , ηto ) = 0
ηto

+ , ∞
+ ,
( d
Lnyt1 − Lnyt−1
1
p ηt−p
2 =γ+ C o
yt p=0
ηt−p

∞
(
Lnyt1 − 1
Lnyt−1 = γ1 + (cp11 ηt−p
d
+ cp12 ηt−p
o
)
p=0

Lnyt1
-k -∞ τ d -∞
p=0 [( τ =0 c11 )ηt−p + ( τ =0 cτ12 )ηt−p
o
]
-∞ τ
τ =0 c11 =0

∞
+ √ , (
∞
( 0
p
C = √ √ = Ψp Ω1/2
τ =0 τ =0
 ∞
( ∞
(
p p
w11 ψ11 + w21 ψ12 =0
p=0 p=0

1 p 1 p 1 p
qt = βpt + β11 qt−1 + ... + β11 qt−p + β12 pt−1 + ... + β12 pt−p + β13 wt−1 + ... + β13 wt−p + ad
t
1 p 1 p 1 p
pt = γqt + hwt + β21 qt−1 + ... + β21 qt−p + β22 pt−1 + ... + β22 pt−p + β23 wt−1 + ... + β23 wt−p + as
t
1 p w
wt = β33 wt−1 + ... + β33 wt−p + at

qt pt wt

B0 yt = B1 yt−1 + B2 yt−2 + ... + Bp yt−p + at

⎡ ⎤
1 −β 0
B0 = ⎢ ⎥
⎣ 1 −γ −h ⎦
0 0 1

yt = B0−1 B1 yt−1 + B0−1 B2 yt−2 + ... + B0−1 Bp yt−p + B0−1 at

M A(∞)

Yt = µ + Ψ(L)B0−1 at = µ + C(L)ηt

C(L) = Ψ(L)B0−1
ηt = B0−1 at
 B0
W
B0
′ ′
D = E(ηt ηt′ ) D = E(ηt ηt′ ) = E(B0−1 at a′t B0−1 ) = B0−1 ΩB0−1

Ω = B0 DB0′

M A(∞)

yt = µ + at + Ψ1 at−1 + Ψ2 at−2 + ...

yt+s

yt+s − ŷt+s|t = at+s + Ψ1 at+s−1 + ... + Ψs−1 at+1

M EC(ŷt+s|t ) = E[(yt+s − ŷt+s|t )(yt+s − ŷt+s|t )] =

= Ω + Ψ1 ΩΨ′1 + Ψ2 ΩΨ′2 + ... + Ψs−1 ΩΨ′s−1

E(at a′t ) = Ω
at = Ω1/2 ηt ηt
ηt
Ω = E(at a′t ) = a1 a′1 V ar(η1t )+a2 a′2 V ar(η2t )+...+am a′m V ar(ηmt ) V ar(ηjt )
jj E(ηt ηt′ ) = D.
m
(
M EC(ŷt+s|t ) = {V ar(ujt )[aj a′j + Ψ1 aj a′j Ψ1 + ...
j=1

+Ψs−1 aj a′j Ψs−1 ]}

 ηj
s
j