Solncy variables in x and a previous value of y; see Example 4.4. a. For estimating B, why do we obtain the same estimator if the growth in y, log(y)- log(y 1), is used instead as the dependent variable? b. Suppose that there are no covariates x in the equation. Show that, if the dis- tributions of y and y-1 are identical, then a < 1. This is the regression-to-the-mean phenomenon in a dynamic setting. (Hint: Show that x1 = Corr[log(y), log(y-1)]-)

Solncy variables in x and a previous value of y; see Example 4.4. a. For estimating B, why do we obtain the same estimator if the growth in y, log(y)- log(y 1), is used instead as the dependent variable? b. Suppose that there are no covariates x in the equation. Show that, if the dis- tributions of y and y-1 are identical, then a < 1. This is the regression-to-the-mean phenomenon in a dynamic setting. (Hint: Show that x1 = Corr[log(y), log(y-1)]-)

Managerial Economics: Applications, Strategies and Tactics (MindTap Course List)

14th Edition

ISBN:9781305506381

Author:James R. McGuigan, R. Charles Moyer, Frederick H.deB. Harris

Publisher:James R. McGuigan, R. Charles Moyer, Frederick H.deB. Harris

Chapter5: Business And Economic Forecasting

Section: Chapter Questions

Problem 1.5CE: In attempting to formulate a model of the passenger arrival data on cruise ships over time would a...

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