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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 8
Suppose that Y t follows the AR( p ) model
where
. Let
Show that
, for h p.
where . Let Show that , for h p.Explanation
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Y is assumed to be a p -order autoregres...
Introduction to Econometrics 3rd Edition by James Stock, Mark Watson
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