RDP 8601: Classical Models and Unobserved Aggregates
Equation
var
(
x
t
−
t
−
1
x
t
)
=
Γ
1
(
var
(
z
t
−
t
−
1
z
t
)
)
Γ
1
′
+
Δ
1
var
(
ξ
t
0
)
Δ
1
′
+
Δ
2
var
(
ξ
t
)
Δ
2
′
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