Question: (Score Test) In Section 25.7.4 of the Mathematical Notes, we show that the score tests for no autocorrelation in normally distributed disturbance terms are identical

(Score Test) In Section 25.7.4 of the Mathematical Notes, we show that the score tests for no autocorrelation in normally distributed disturbance terms are identical in the AR(p) and MA(p) specifications. In this excrcise, we focus on the special case p = 1. For any T-variate y a score test about a parameter prests on a derivative that has the chain-rule form . (p)],

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