AR(1) process.

(a) For the one-way error component model with remainder disturbances \(u_{i t}\) following a stationary \(\mathrm{AR}(1)\) process as in (5.8), verify that \(\Omega^{*}=E\left(u^{*} u^{* \prime}ight)\) is that given by (5.11).

(b) Using the Wansbeek and Kapteyn (1982) trick, show that \(\Omega^{*}\) can be written as in (5.12).

Vit = pi,t-1 + Eit (5.8)