688 PROBLEMS AND SOLUTIONS

former has a pair of complex conjugate roots on the unit circle, whereas the latter
contains the two real unit roots :t I. These properties are important in the context andz,
p(k -
of seasonal unit roots.)
pohl,
REFERENCE
REFEI
Phillips, P.C.B. (1986) Understanding spurious regressions in econometrics. Journal of Econometrics
33,311-340.
Liitker
Reinse

98.5.4. Further Examples of Accelerated Time Regression Models That Are not
Proportional Hazard Models, proposed by S.K. Sapra. Consider the following
duration data mnnp.l~ with den£ity functions givcn bcluw.
97
banc(
1. Pareto Model
prop(
f(t) = akU/tu+l, Jeren
a >0, t;:::=: k> 0.

I.

2. Inverse Gaussian Model reVef

tions

f(t) = (21Tt3)-1/2e-(1-p.)2/2p.2t
, t> 0, .u < 0.
(2) ut
J
Using suitable parameterizations, show that model~ (1) and (2) are accelerated
failure time regression models but are not proportional hazard models (for defi- with
nitions of these models, see Kalbfleisch and Prentice, 1980).
~tj
REFERENCE
for 1

Kalbfleisch, J.D. & R. Prentice (19RO) .\'tnt;"t;cal Annl>,sis of Failu,-c Ti",c: Du{u. Nt:w York; Wiley. Bt

cov(
98.5.5. A Property of the Companion Matrix of a Reduced Rank VAR, proposed
by Farshid Vahid. Consider the following mean-subtracted k-dimensional V AR (p ), Ho\Jy

var(
in which rank of the (k X kp) parameter matrix <I>= [<1>1:<1>2:
...:<1>p] is r < k. A
useful reformulation of a VAR is its kp-dimensional VAR(l) form:
Q
Zt == FZ,-1 + 17"

(Ytj
where F is the (kp X kp) companion matrix
TI

<1> for 1
F==
Ikp-k :O(kp-k\Xk
.Ytj =