A Economtrics Question

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Suppose we estimate the following model:y_hat = .78t, where t is the timevariable (t=1, 2, …, T). Suppose we calculate the residuals, res, and then we estimate: res_t = β*t + e_t

a)     What will the estimate of β be, and why?

b)     Suppose we propose to estimate: res_t = β_1 *t+p_1*res_(t-1) + e_t.What will the estimate of βbe, and why?

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关键词：economtrics question econom Econo Quest following where

β=0

hyj980098 发表于 2013-11-17 15:33
β=0

β=0 for both part a and b? could you give a little explanation?

For part a, β = 0 because residuals and independent variables are not correlated right?
For part b, β = 0 because no serial correlation?

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解释变量和残差的协方差等于0