Set of Spherical Models
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When we try to explain the behaviour of a variable we distinguish between two groups of explanatory factors. In the first group, we include those factors which have a systematic effect on the variable. In the second group, we include those factors which jointly have no systematic effect on the variable. We call these two groups, systematic part and error term respectively.
KeywordsCovariance Matrix Unit Root Residual Vector White Noise Process Disturbance Vector
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