Benati, Luca (contributor); Mumtaz, Haroon (contributor) - 2007
t−1
+ ... + B
p,t
Y
t−p
+ null
t
≡ X
0
t
θ
t
+ null
t
(1)
where the notation is obvious, and Y
t
is defined as Y
t
≡ [r …, combining elements of Prim-
iceri (2005) and Cogley and Sargent (2002, 2005). In what follows, x
t
denotes the
entire history of … the vector x up to time t–i.e. x
t
≡ [x
0
1
, x
0
2
,,x
0
t
]
0
–while T is the
sample length.
(a) Drawing the elements of …