ECOM30001 Lecture Notes - Lecture 12: Test Statistic, Bias Of An Estimator, Covariance

• School: University of Melbourne
• Department: Econometrics
• Course: ECOM30001
• Professor: Andrew Clark

Document Summary

Current error term reflects effects of both current shocks but also lingering past shocks. Past shocks are going to be correlated with present. F i r s t - o r d e r a u t o r e g r e s s i v e e r r o r s a r ( 1 ) Is a parameter that controls the correlation in "s: model assumes shocks are persistent through periods (cid:882) The random error ( ) is composed to two parts: P r o p e r t i e s o f a r ( 1 ) e r r o r s ((cid:4667) (cid:2870) (cid:2870: parameter determines the contribution of this carryover to the current error, (cid:883)<