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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 13
Suppose that
, where u t is i.i.d. N (0, 1), and consider the regression Y t = X t + error, where X t = Y t +1 and error is the regression error. Show that
.
, where u t is i.i.d. N (0, 1), and consider the regression Y t = X t + error, where X t = Y t +1 and error is the regression error. Show that .Explanation
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The regression of Y on X is a distribute...
Introduction to Econometrics 3rd Edition by James Stock, Mark Watson
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