RDP 8601: Classical Models and Unobserved Aggregates
Equation (29)
cov
{
y
t
,
(
(
M
^
t
−
M
^
t
−
1
)
−
E
t
−
1
(
M
^
t
−
M
^
t
−
1
)
)
}
=
(
1
/
(
1
+
α
)
)
(
(
β
−
γ
)
/
(
1
+
α
)
)
σ
S
2
+
(
α
/
(
1
+
α
)
)
{
(
(
α
β
+
γ
)
/
(
1
+
α
)
)
(
σ
η
2
+
φ
2
σ
2
+
σ
ν
2
+
σ
d
2
)
+
(
1
+
δ
)
σ
η
2
+
φ
2
σ
2
+
σ
ν
2
}
MathType@MTEF@5@5@+= feaagKart1ev2aaatCvAUfeBSjuyZL2yd9gzLbvyNv2CaerbuLwBLn hiov2DGi1BTfMBaeXatLxBI9gBaerbd9wDYLwzYbItLDharqqtubsr 4rNCHbGeaGqiVu0Je9sqqrpepC0xbbL8F4rqqrFfpeea0xe9Lq=Jc9 vqaqpepm0xbba9pwe9Q8fs0=yqaqpepae9pg0FirpepeKkFr0xfr=x fr=xb9adbaqaaeGaciGaaiaabeqaamaabaabaaGceaqabeaaciGGJb Gaai4BaiaacAhadaGadaqaaiaadMhadaWgaaWcbaGaamiDaaqabaGc caGGSaWaaeWaaeaadaqadaqaaiqad2eagaqcamaaBaaaleaacaWG0b aabeaakiabgkHiTiqad2eagaqcamaaBaaaleaacaWG0bGaeyOeI0Ia aGymaaqabaaakiaawIcacaGLPaaacqGHsislcaWGfbWaaSbaaSqaai aadshacqGHsislcaaIXaaabeaakmaabmaabaGabmytayaajaWaaSba aSqaaiaadshaaeqaaOGaeyOeI0IabmytayaajaWaaSbaaSqaaiaads hacqGHsislcaaIXaaabeaaaOGaayjkaiaawMcaaaGaayjkaiaawMca aaGaay5Eaiaaw2haaiabg2da9maabmaabaGaaGymaiaac+cadaqada qaaiaaigdacqGHRaWkcqaHXoqyaiaawIcacaGLPaaaaiaawIcacaGL PaaadaqadaqaamaabmaabaGaeqOSdiMaeyOeI0Iaeq4SdCgacaGLOa GaayzkaaGaai4lamaabmaabaGaaGymaiabgUcaRiabeg7aHbGaayjk aiaawMcaaaGaayjkaiaawMcaaiabeo8aZnaaDaaaleaacaWGtbaaba GaaGOmaaaaaOqaaiabgUcaRmaabmaabaGaeqySdeMaai4lamaabmaa baGaaGymaiabgUcaRiabeg7aHbGaayjkaiaawMcaaaGaayjkaiaawM caamaacmaabaWaaeWaaeaadaqadaqaaiabeg7aHjabek7aIjabgUca Riabeo7aNbGaayjkaiaawMcaaiaac+cadaqadaqaaiaaigdacqGHRa WkcqaHXoqyaiaawIcacaGLPaaaaiaawIcacaGLPaaadaqadaqaaiab eo8aZnaaDaaaleaacqaH3oaAaeaacaaIYaaaaOGaey4kaSIaeqOXdO 2aaWbaaSqabeaacaaIYaaaaOGaeq4Wdm3aaWbaaSqabeaacaaIYaaa aOGaey4kaSIaeq4Wdm3aa0baaSqaaiabe27aUbqaaiaaikdaaaGccq GHRaWkcqaHdpWCdaqhaaWcbaGaamizaaqaaiaaikdaaaaakiaawIca caGLPaaacqGHRaWkdaqadaqaaiaaigdacqGHRaWkcqaH0oazaiaawI cacaGLPaaacqaHdpWCdaqhaaWcbaGaeq4TdGgabaGaaGOmaaaakiab gUcaRiabeA8aQnaaCaaaleqabaGaaGOmaaaakiabeo8aZnaaCaaale qabaGaaGOmaaaakiabgUcaRiabeo8aZnaaDaaaleaacqaH9oGBaeaa caaIYaaaaaGccaGL7bGaayzFaaaaaaa@B338@