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Vector Autoregression Algebra, $M_t$, $L$
In the paper here
http://www.ems.bbk.ac.uk/for_students/bsc_FinEcon/fin_economEMEC007U/VAR.pdf
It shows VAR(p) model as
$$
W_t = A_1W_{t-1} + A_2W_{t-2} + ... + A_pW_{t-p} + \epsilon_t
$$
But ...
