... equation"∆qt∆ft#="r11r 12 r 21 r 22 #"qt−1ft−1#−"b11b 12 b 21 b 22 #"∆qt−1∆ft−1#+"uqtuft#, (2. 94)where"r11r 12 r 21 r 22 #="a11+ b11− 1 a 12 + b 12 a 21 + ... θst+ β11mt−1+ β 12 st−1+ ²1t, (2. 23)st= γmt+ β 21 mt−1+ β 22 st−1+ ²2t, (2. 24)where ²1tiid∼ N (0, σ 2 1), ²2tiid∼ N(0, σ 2 2), and E(²1t²2s) = 0 for all t, s.Without ... −γθ),π 21 =(β 21 + γβ11)(1 −γθ), π 22 =(β 22 + γβ 12 )(1 −γθ)umt=(²1t+ θ²2t)(1 − γθ),ust=(²2t+ γ²1t)(1 −γθ),Var(umt)=(σ 2 1+ θ 2 σ 2 2)(1 − γθ) 2 , Var(ust)=(γ 2 σ 2 1+...