Question: Show that for an AR(1) model given in (5.26), E(utus) = |ts|2 u for t, s = 1, 2, . . . , T.

Show that for an AR(1) model given in (5.26), E(utus) = ρ|t−s|σ2 u for t, s = 1, 2, . . . , T.

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