Question: Consider a standard multiple linear regression model with time series data: yt 5 b0 1 b1xt1 1 p 1 bkxtk 1 ut . Assume that

Consider a standard multiple linear regression model with time series data:

yt 5 b0 1 b1xt1 1 p 1 bkxtk 1 ut

.

Assume that Assumptions TS.1, TS.2, TS.3, and TS.4 all hold.

(i) Suppose we think that the errors 5ut

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