Pooter, Michiel de; Ravazzolo, Francesco; Segers, Rene; … - 2008
variable, y = (y1 y2 ...yT)′. X = (x′1 x′2 ...x′T)′ denotes the matrix
of observations on the explanatory variables and IT is … squares on β as
(y −Xβ)′(y −Xβ) = (y −Xˆβ)′(y −Xˆβ)+(β − ˆβ)′X′X(β − ˆβ) (15)
with ˆβ = (X′X)−1X′y, the OLS estimator of β …(0,σ2εIT) (29)
where y−1 and X−1 denote the one-period lagged values of y and X. This reformulation
shows that the …