Question: Show that (15.4) implies that Y1,t-1 - Y2,t1 is an AR(1) process with coefficient 1 + 1 2.

Show that (15.4) implies that Y1,t-1 - λY2,t−1 is an AR(1) process with coefficient 1 + ϕ1 − λϕ2.

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Now Eq 154 from the book is given by Y 1t Y 2t 1 2 Y 1t1 Y 2t1 1t 2t 20 When we use the ... View full answer

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