Question: Suppose ut = put-1 + et, where 0 Suppose ut put1 4- et, where O < p < 1 and et is i.i.d., with mean

Suppose ut = put-1 + et, where 0

Suppose ut put1 4- et, where O < p < 1 and et is i.i.d., with mean O and variance me. 2 Feel free to assume ut is stationary (O < p < 1 implies that it is). a. Solve for the var(Ut). b. Solve for cov(ut, ut_l). c. Solve for the where [3 is the SLR eStirnate. Assume has been de- meaned. d. is SER efficient? If so, explain why in one sentence. If not, write down a trans- formation of the regression equation that is.

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