Derive the disturbance covariance matrix for the model y t = xt + t ,
Question:
Derive the disturbance covariance matrix for the model
yt = βxt + εt,
εt = ρεt−1 + ut − λut−1.
What parameter is estimated by the regression of the OLS residuals on their lagged values?
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Solve the disturbance process in its moving average form Write the pro...View the full answer
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