The Second Step in the First Iteration of the Cochrane-Orcutt $e _ { t } = \rho e _ { t - 1 } + u _ { t }$

question 27

Multiple Choice

The second step in the first iteration of the Cochrane-Orcutt method for AR(1) is to estimate the model

• A) \(e _ { t } = \rho e _ { t - 1 } + u _ { t }\) to generate an estimate of \(\hat { \rho }\) .
• B) \(e _ { t - 1 } = \rho e _ { t } + u _ { t }\) to generate an estimate of \(\hat { \rho }\) .
• C) \(e _ { t } = \rho _ { 1 } e _ { t - 1 } + \rho _ { 2 } e _ { t - 2 } + u _ { t }\) to generate an estimate of \(\hat { \rho } _ { 1 }\) and \(\hat { \rho } _ { 2 }\) .
• D) \(y _ { t } = \rho x _ { t - 1 } + u _ { t }\) to generate an estimate of \(\hat { \rho }\) .

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