Compute the autoregression matrices Ay,t,i≡∑m=1Mαm,tAm,iA_{y,t,i}\equiv \sum_{m=1}^M\alpha_{m,t}A_{m,i}Ay,t,i≡∑m=1Mαm,tAm,i for all lags i=1,...,pi=1,...,pi=1,...,pfor a single time period
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