Maximum Likelihood Estimation of the VAR(1) Model Parameters with Missing Observations

Figure 2

Graphical representation of GI₂. The data were obtained from a VAR(1) Model, with 𝛼₀=𝛽₀=0,𝛼₁=0.6,𝛽₁=0.7, and 𝛽₂=0.8.

(a)  𝜌_𝜖𝜉=0.1

(b) 𝜌_𝜖𝜉=0.5

(c) 𝜌_𝜖𝜉=0.75

(d) 𝜌_𝜖𝜉=0.9