Question: Take the VAR(1) model Yt AYt1 et . Assume et is i.i.d. For each specified matrix A below, check if Yt is strictly stationary.

Take the VAR(1) model Yt Æ AYt¡1 Ået . Assume et is i.i.d. For each specified matrix A below, check if Yt is strictly stationary. Use mathematical software to compute eigenvalues if needed.

(a) A Æ

0.7 0.2 0.2 0.7

(b) A Æ

0.8 0.4 0.4 0.8

(c) A Æ

0.8 0.4

¡0.4 0.8

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