Numerical Examples

Abstract

This chapter presents examples of models constructed from time series available in the literature and from macroeconomic time series of the United States of America, the United Kingdom, West Germany, and Japan. Actual macroeconomic time series used in model construction are described in the data appendix. Small scale examples are presented first. Some of the models constructed by the method of this book are also compared with the vector autoregressive (VAR) models computed by a commercially available computer program later in this chapter. Models of dimension n* constructed using K sub-blocks of Hankel matrices are denoted hy m(K, n*). These models thus utilize information contained in the first 2K-1 covariance matrices of the data vectors.