Unformatted text preview: Y t y t = X t E + V t v t . If Ý V t , v t Þ have independent uniform distributions over the rectangle Ý ? a , a Þ × Ý ? a , a Þ , show that the limiting distribution of B is Cauchy. Does this result hold under more general conditions? d) Suppose that Z t is causal for y t , that is, it enters on the right side of the equation for y t . How does this change your answers to a) and c)?...
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This note was uploaded on 12/26/2011 for the course ECON 245a taught by Professor Staff during the Fall '08 term at UCSB.
 Fall '08
 Staff
 Economics

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