# Consider the constant-term-only regression model Yt = 0 + ut, where ut follows the stationary AR(1) model

## Question:

with mean 0 and variance

a. Show that the OLS estimator is

b. Show that the (infeasible) GLS estimator is Î²0GLS =

c. Show that Î²0GLS can be written as Î²0GLS =

d. Derive the difference Î²0 - Î²0GLS and discuss why it is likely to be small when T is large.

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**Related Book For**

## Introduction to Econometrics

**ISBN:** 978-0133595420

3rd edition

**Authors:** James H. Stock, Mark W. Watson