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Consider the model where y = x + u, t= 1,.., T U =put-1+E, t=...,0,1,2,..., with lpl <1, and (e) is a sequence of
Consider the model where y = x + u, t= 1,.., T U =put-1+E, t=...,0,1,2,..., with lpl
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a To transform the above linear regression model to make the disturbances 11d we can use the CochraneOrcutt method The steps involved are as follows 1 ...
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Econometric Analysis
Authors: William H. Greene
5th Edition
130661899, 978-0130661890
