Suppose xt = Pp j=1 jxtj + wt, where p 6= 0 and wt is white noise such that wt is uncorrelated with {xk; k

Suppose xt = Pp j=1 φjxt−j + wt, where φp 6= 0 and wt is white noise such that wt is uncorrelated with {xk; k < t}. Use the Projection Theorem to show that, for n > p, the BLP of xn+1 on sp{xk, k ≤ n} is xbn+1 = Xp j=1

φjxn+1−j .