Dittmar, Robert F. (contributor); … - 2003 - [Elektronische Ressource]
, where xt 1 is a vector formed from stacking lagged values of
yt, and possibly with a constant term. zt is de�ned as y0t;x0t …, the EH implies that
(7) rnt = 1k
k 1X
i=0
Et rmt+mi ;
so that the EH can be equivalently expressed as
(8) e02xt = 1k
k 1X …
i=0
e01 mixt:
The constraints that satisfy the EH are given by
(9) aT( ) e02 1k
k 1X
i=0
e01 mi = 0:
No simple …