Question
If a simple N-span moving average is applied to a time series that has a linear trend, say, y, = Bo + Bit +
If a simple N-span moving average is applied to a time series that has a linear trend, say, y, = Bo + Bit + E,1 will lag behind the observations. Assume that the observations are uncorrelated and have constant variance. Show that at time T the expected value of the moving average is N-1 E(M) =B + BT - N=. - 2
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Introductory Econometrics A Modern Approach
Authors: Jeffrey M. Wooldridge
4th edition
978-0324581621, 324581629, 324660545, 978-0324660548
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