16.4 Suppose that Yt follows the AR(p) model Yt = b0 + b1Yt - 1 + g+...
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16.4 Suppose that Yt follows the AR(p) model Yt = b0 + b1Yt - 1 + g+
bpYt - p + ut, where E(ut •Yt - 1, Yt - 2,
c) = 0 Let Yt + h•t = E(Yt + h •Yt, Yt - 1, c). Show that Yt + h•t = b0 + b1Yt - 1 + h•t + g + bpYt - p + h•t for h > p.
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Related Book For 
Introduction To Econometrics
ISBN: 9781292071367
3rd Global Edition
Authors: James Stock, Mark Watson
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