Introductory Econometrics: A Modern Approach 6th Edition by Jeffrey M Wooldridge

Exercise 2

Let {xt: t _ 1, 2, …} be a covariance stationary process and define ?h= Cov(xt, xt+h) for h ? 0. [Therefore, ?0= Var(xt).] Show that Corr(xt, xt_h) = ?h/ ?0