Guidolin, Massimo (contributor); … - 2005
,
where k
i
is the number of states for the ith series:
y
it
= µ
is
it
+
p
X
j=1
a
ij,s
it
y
it−j
+ σ
is
it
u
it
,i=1,...,n, u …
+
p
X
j=1
a
ij,s
it
y
it−j
+ σ
s
it
u
it
, (4)
The presence of autoregressive lags may proxy for omitted state variables … a common
state variable, S
t
, that takes integer values between 1 and k:
y
t
= µ
s
t
+
p
X
j=1
A
j,s
t
y
t−j
+ ε
t
. (5 …