nT 3. Suppose {Uit}j=1,t=1 be i.i.d. variables with mean zero and variance o2. Show that for each i, Awit is autocorrela

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Nt 3 Suppose Uit J 1 T 1 Be I I D Variables With Mean Zero And Variance O2 Show That For Each I Awit Is Autocorrela 1 (42.01 KiB) Viewed 97 times

nT 3. Suppose {Uit}j=1,t=1 be i.i.d. variables with mean zero and variance o2. Show that for each i, Awit is autocorrelated. That is, AUit is correlated to some of its past values. E.g., it is enough to calculate Cov (Awit, AUit-1) and Cov (AUit, Awit 2) to see if any of these are non-zero.