Question: Consider the three SCMs of Question 3. If the maximum elements, in absolute value, of the three rows of the transformation matrix (T) are ((1,1),(2,3)),
Consider the three SCMs of Question 3. If the maximum elements, in absolute value, of the three rows of the transformation matrix \(T\) are \((1,1),(2,3)\), and \((3,2)\), respectively. Write down the transformation matrix \(\boldsymbol{T}\) that consists of only estimable parameters. How many parameters does the resulting VARMA model contain? Again, you may include the constant vector, but not the \(\boldsymbol{\Sigma}_{a}\) covariance matrix.
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