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Introduction to Econometrics 3rd Edition by James Stock, Mark Watson
Edition 3ISBN: 978-9352863501Introduction to Econometrics 3rd Edition by James Stock, Mark Watson
Edition 3ISBN: 978-9352863501 Exercise 15
Consider the AR(1) model Y t = ß 0 + ß 1 Y t - 1 + u t. Suppose that the process is stationary.
a. Show that E ( Y t ) = E ( Y t - 1 ).
b. Show that E(Y,) = ß 0 /(l - ß 1 ).
a. Show that E ( Y t ) = E ( Y t - 1 ).
b. Show that E(Y,) = ß 0 /(l - ß 1 ).
Explanation
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Consider the first order auto regression...
Introduction to Econometrics 3rd Edition by James Stock, Mark Watson
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