3 autoregression and var represent the following ar 3 model in var 1 f
Question
3. Autoregression and VAR. Represent the following AR (3) model in VAR(1) form:
Yt = 0.2yt-1 +0.1yt-2 - 0.5yt-3 + εt.
1
Find the value of the response of ye to a one unit impulse increase in 1-2.
