Question: Take the AR(1) model with no intercept Yt 1Yt1 et . (a) Find the impulse response function bj @ @et Ytj . (b)

Take the AR(1) model with no intercept Yt Æ ®1Yt¡1 Ået .

(a) Find the impulse response function bj Æ @

@et YtÅj .

(b) Let b®

1 be the least squares estimator of ®1. Find an estimator of bj .

(c) Let s (b®

1) be a standard error for b®

1. Use the delta method to find a 95% asymptotic confidence interval for bj .

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