Consider the regression model where u t follows the stationary AR(1) model 11eb817c_77ff_9bf1_84e6_81debb2a8ada_SM2685_11 , with 11eb817c_77ff_9bf2_84e6_67641d062061_SM2685_11 , i.i.d. with mean 0 and variance 11eb817c_77ff_9bf3_84e6_77fe87086b7d_SM2685_11 a. Suppose that X t is independent of for all t and j. Is X t exogenous (past and present) Is X t strictly exogenous (past, present, and future) . b. Suppose that Is X t exogenous Is X t strictly exogenous

Introduction to Econometrics 3rd Edition by James Stock, Mark Watson

Edition 3ISBN: 978-9352863501

Introduction to Econometrics 3rd Edition by James Stock, Mark Watson

Edition 3ISBN: 978-9352863501

Exercise 12

Consider the regression model where u t follows the stationary AR(1) model

, with

, i.i.d. with mean 0 and variance

a. Suppose that X t is independent of for all t and j. Is X t exogenous (past and present) Is X t strictly exogenous (past, present, and future) .
b. Suppose that Is X t exogenous Is X t strictly exogenous

Explanation

Verified

a) The regression model is given as
No...