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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 6
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
, 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
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a) The regression model is given as 
Not...
Introduction to Econometrics 3rd Edition by James Stock, James Stock
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