Question: 15.7 Consider the regression model Yt = b0 + b1Xt + ut, where ut follows the stationary AR(1) model ut = f1ut - 1 +

15.7 Consider the regression model Yt = b0 + b1Xt + ut, where ut follows the stationary AR(1) model ut = f1ut - 1 + u 

t with u 

t i.i.d. with mean 0 and variance s2 u and 0 f1 0 6 1.

a. Suppose that Xt is independent of u 

j for all t and j. Is Xt exogenous

(past and present)? Is Xt strictly exogenous (past, present, and future)?

b. Suppose that Xt = u 

t + 1. Is Xt exogenous? Is Xt strictly exogenous?

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