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Introduction to Econometrics 3rd Edition by James Stock, Mark Watson
Edition 3ISBN: 978-9352863501Introduction to Econometrics 3rd Edition by James Stock, Mark Watson
Edition 3ISBN: 978-9352863501 Exercise 16
Suppose that ^follows a stationary AR(1) model,
a. Show that the h -period ahead forecast of Y t is given by
, where
.
b. Suppose that X t is related to Y t by
, where
. Show that
.
a. Show that the h -period ahead forecast of Y t is given by
, where .b. Suppose that X t is related to Y t by
, where . Show that .Explanation
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Verified
a) The given AR model is
The h period ...
Introduction to Econometrics 3rd Edition by James Stock, Mark Watson
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