Suppose that (Y_{t}) follows a stationary (operatorname{AR}(1)) model with (beta_{0}=0) and (beta_{1}=0.7). If (Y_{t}=5), what is your

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Suppose that \(Y_{t}\) follows a stationary \(\operatorname{AR}(1)\) model with \(\beta_{0}=0\) and \(\beta_{1}=0.7\). If \(Y_{t}=5\), what is your forecast of \(Y_{t+2}\) ? That is, what is \(Y_{t+2 \mid t}\) ? What is \(Y_{t+h \mid t}\) for \(h=30\) ? Does this forecast for \(h=30\) seem reasonable to you?

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Introduction To Econometrics

ISBN: 9780134461991

4th Edition

Authors: James Stock, Mark Watson

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