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Consider the model y t = a 0 + a 1 x t + y t1 + u t , x t is stationary. (1)
Consider the model
yt = a0 + a1xt + yt1 + ut, xt is stationary.
(1) Suppose yt is stationary and ut is white noise. How do you propose estimating this equation? What will be the properties of your estimators?
(2)Suppose yt is nonstationary and ut is white noise. How do you propose estimating this equation? What will be the properties of your estimators?
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