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
2.1 1、Statistical or random experiment 2、Sample space or population Sample point, event 2.2 Stochastic or random variable (r. v.) 2.3 Probability 2.4 R.V. and probability density function
1. Recall the assumption for the CMLRM: (Homoskedasticity) 2. Counterexamples 1、rich family and poor family expenditures; 2、large company and small company sales. There exists heteroskedasticity in lots of econometric problems
