Consider the AR(1) model Yt = 0 + 1 Y t-1 + ut. Suppose that

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Consider the AR(1) model Yt = β ₀ + β ₁Y _t-1 + ut. Suppose that the process is stationary.

a. Show that E(Y _t) = E(Y _{t - 1})

b. Show that E(Y _t) = β ₀/(1- β ₁)

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Introduction to Econometrics

ISBN: 978-0133595420

3rd edition

Authors: James H. Stock, Mark W. Watson

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Posted Date: Dec 12, 2018 01:55 AM

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Consider the AR(1) model Yt = 0 + 1 Y t-1 + ut. Suppose that

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Introduction to Econometrics

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