Consider the AR(1) model Yt = 0 +1Yt-1 + ut. Suppose that the process is stationary. a.
Question:
a. Show that E(Yt) = E(Yt-1).
b. Show that E(Yt) = β0/(1 - β1).
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a Since the probability distribution of Y t is the same as the pr...View the full answer
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Related Book For
Introduction to Econometrics
ISBN: 978-0133595420
3rd edition
Authors: James H. Stock, Mark W. Watson
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