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
Posted: Sun Sep 05, 2021 5:09 pm
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.