Does first differencing reduce autocorrelation? Consider the models yt = 'xt +t, where t = t1 +

Does first differencing reduce autocorrelation? Consider the models yt = β'xt +εt, where εt = ρεt−1 + ut and εt = ut − λut−1. Compare the autocorrelation of εt in the original model with that of vt in yt − yt−1 = β'(xt − xt−1) + vt, where vt = εt − εt − 1.