Question: 13 .2 Consider the first-order VAR model in Exercise I 3. 1 . Under the assumption that therc is no contemporaneous dependence determine (a) the

13 .2 Consider the first-order VAR model in Exercise I 3. 1 . Under the assumption that therc is no contemporaneous dependence determine

(a) the contribution ofa shock to y on the variance ofthe three-step ahead forecas error for y;

(b) the contribution of a shock to r on the variance of the three-step ahead foreca-.:

error for y;

(c) the contribution of a shock to y on the variance of the three-step ahead forecas error for x:

(d) the contribution of a shock to r on the variance of the three-step ahead foreca-<

error for x.

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