Consider the constant-term-only regression model Yt = 0 + ut, where ut follows the stationary AR(1) model with mean 0 and variance a. Show that

Consider the "constant-term-only" regression model Yt = β0 + ut, where ut follows the stationary AR(1) model

with mean 0 and variance

a. Show that the OLS estimator is

b. Show that the (infeasible) GLS estimator is β0GLS =

c. Show that β0GLS can be written as β0GLS =

d. Derive the difference β0 - β0GLS and discuss why it is likely to be small when T is large.

1,-14-1 + 11, with u, ..d.