Suppose that ^follows a stationary AR(1) model, 11eb9b5b_3f25_99c0_bf3e_230191414709_SM2686_11 a. Show that the h -period ahead forecast of Y t is given by 11eb9b5b_3f25_99c1_bf3e_b5d3200cd6b6_SM2686_11 11eb9b5b_3f25_c0d2_bf3e_29ad545f483b_SM2686_11 , where 11eb9b5b_3f25_c0d3_bf3e_2dc5ad3517d3_SM2686_11 . b. Suppose that X t is related to Y t by 11eb9b5b_3f25_c0d4_bf3e_7d2d404f66a1_SM2686_11 , where 11eb9b5b_3f25_c0d5_bf3e_43075e38790f_SM2686_11 . Show that 11eb9b5b_3f25_e7e6_bf3e_55de8a32e90a_SM2686_11 .

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

Edition 3ISBN: 978-9352863501

Edition 3ISBN: 978-9352863501

Exercise 10

Suppose that ^follows a stationary AR(1) model,

a. Show that the h -period ahead forecast of Y t is given by

, where

.
b. Suppose that X t is related to Y t by

, where

. Show that

Explanation

Verified

a) The given AR model is The h period a...