p840-0407 - of Δ y t on Δ y t-1 i.e overdifferencing...

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Econ 840 Exercise for April 7 de Jong, Spring 2008 Answer the question below. Consider and AR(1) model y t = φy t - 1 + ε t where | φ | < 1. Someone runs a linear regression
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Unformatted text preview: of Δ y t on Δ y t-1 ; i.e. overdifferencing . What will be the probability limit of the resulting least squares estimator ˆ φ ? 1...
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