Ch. 21 Univariate Unit Root process 1 Introduction Consider OLS estimation of a AR(1)process, Yt= pYt-1+ut where ut w ii d (0, 0), and Yo=0. The OLS estimator of p is given by and we also have
Statistical inference draws conclusions about a population [i.e., probability density function(DF)] from random sample that has supposedly been drawn from that population
Multiple Regression Model: A regression model with more than one explanatory variable, multiple because multiple nfluences (i.e., variables)affect the dependent variable