Question: Derive the disturbance covariance matrix for the model ?What parameter is estimated by the regression of the OLS residuals on their lagged values? y ;

Derive the disturbance covariance matrix for the model

y ; = x + E = pr1 + 1 - 21-1-

?What parameter is estimated by the regression of the OLS residuals on their lagged values?

y ; = x + E = pr1 + 1 - 21-1-

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