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Solution to Problem Posed in Volume 20(3): 04.3.1. An I(2) Model for VAR(1) Processes—Solution
Published online by Cambridge University Press: 22 April 2005
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Let α* be any basis of col(Π) and β* be any basis of col(Π′); we note col(α⊥) = col(α*⊥), col(β⊥) = col(β*⊥) so no distinction is made between α⊥ and α*⊥, β⊥ and β*⊥ in the following discussion.
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