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Introduction to Econometrics 3rd Edition by James Stock, James Stock
Edition 3ISBN: 978-9352863501Introduction to Econometrics 3rd Edition by James Stock, James Stock
Edition 3ISBN: 978-9352863501 Exercise 15
Suppose that Y t follows the AR(1) model Y t = ß 0 + ß 1 Y t -1 + u 1.
a. Show that Y t follows an AR(2) model.
b. Derive the AR(2) coefficients for Y t as a function of ß 0 and ß 1.
a. Show that Y t follows an AR(2) model.
b. Derive the AR(2) coefficients for Y t as a function of ß 0 and ß 1.
Explanation
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b) From the equation...
Introduction to Econometrics 3rd Edition by James Stock, James Stock
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