Consider the first-order VAR model in Exercise 13.1. Under the assumption that there is no contemporaneous dependence,

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Consider the first-order VAR model in Exercise 13.1. Under the assumption that there is no contemporaneous dependence, determine

a. the contribution of a shock to $y$ on the variance of the three-step ahead forecast error for $y$

b. the contribution of a shock to $x$ on the variance of the three-step ahead forecast error for $y$

c. the contribution of a shock to $y$ on the variance of the three-step ahead forecast error for $x$

d. the contribution of a shock to $x$ on the variance of the three-step ahead forecast error for $x$

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Principles Of Econometrics

ISBN: 9781118452271

5th Edition

Authors: R Carter Hill, William E Griffiths, Guay C Lim

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Question Posted: Apr 02, 2024 02:00 AM

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Consider the first-order VAR model in Exercise 13.1. Under the assumption that there is no contemporaneous dependence,

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Principles Of Econometrics

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