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3. Suppose you have the following model y, = Bo + B,x; +u,, i=1,...,n,n+1,..,n+ p with the classical assumptions being satisfied. You want to estimate the model using the first n number of observations and then predict the rest of the observations. a) Show that the prediction error for the n+1th observation is made up of two components, estimation error and the random disturbance term that occurs inherently in the prediction period.

3. Suppose you have the following model y, = Bo + B,x; +u,, i=1,...,n,n+1,..,n+ p with the classical assumptions being satisfied. You want to estimate the model using the first n number of observations and then predict the rest of the observations. a) Show that the prediction error for the n+1th observation is made up of two components, estimation error and the random disturbance term that occurs inherently in the prediction period.

MATLAB: An Introduction with Applications
MATLAB: An Introduction with Applications
6th Edition
ISBN:9781119256830
Author:Amos Gilat
Publisher:Amos Gilat
Chapter1: Starting With Matlab
Section: Chapter Questions
Problem 1P
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3. Suppose you have the following model Y; = Bo + B,x; +u,, i=1,..,n,n+1,..,n+ p with the classical assumptions being satisfied. You want to estimate the model using the first n number of observations and then predict the rest of the observations. a) Show that the prediction error for the n+1h observation is made up of two components, estimation error and the random disturbance term that occurs inherently in the prediction period. b) Show that the components you obtained in (a) are uncorrelated.
Transcribed Image Text:3. Suppose you have the following model Y; = Bo + B,x; +u,, i=1,..,n,n+1,..,n+ p with the classical assumptions being satisfied. You want to estimate the model using the first n number of observations and then predict the rest of the observations. a) Show that the prediction error for the n+1h observation is made up of two components, estimation error and the random disturbance term that occurs inherently in the prediction period. b) Show that the components you obtained in (a) are uncorrelated.
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