Prove that for any random variables X and Y with finite variances: (a) cov(X,Y ) cov(X,E[Y

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Prove that for any random variables X and Y with finite variances:

(a) cov(X,Y ) Æ cov(X,E[Y j X]).

(b) X and Y ¡E[Y j X] are uncorrelated.

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Probability And Statistics For Economists

ISBN: 9780691235943

1st Edition

Authors: Bruce Hansen

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Question Posted: Sep 23, 2024 07:00 AM

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Prove that for any random variables X and Y with finite variances: (a) cov(X,Y ) cov(X,E[Y

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Probability And Statistics For Economists

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