RDP 8601: Classical Models and Unobserved Aggregates
Equation
var
(
z
t
−
t
z
t
)
=
var
(
z
t
−
t
−
1
z
t
)
−
κ
t
cov
{
(
x
t
−
t
−
1
x
t
)
,
(
z
t
−
t
−
1
z
t
)
}
MathType@MTEF@5@5@+= feaagKart1ev2aaatCvAUfeBSjuyZL2yd9gzLbvyNv2CaerbuLwBLn hiov2DGi1BTfMBaeXatLxBI9gBaerbd9wDYLwzYbItLDharqqtubsr 4rNCHbGeaGqiVu0Je9sqqrpepC0xbbL8F4rqqrFfpeea0xe9Lq=Jc9 vqaqpepm0xbba9pwe9Q8fs0=yqaqpepae9pg0FirpepeKkFr0xfr=x fr=xb9adbaqaaeGaciGaaiaabeqaamaabaabaaGcbaGaaeODaiaabg gacaqGYbGaaiikaiaabQhadaWgaaWcbaGaaeiDaaqabaGccqGHsisl daWgaaWcbaGaaeiDaaqabaGccaqG6bWaaSbaaSqaaiaabshaaeqaaO Gaaiykaiabg2da9iaabAhacaqGHbGaaeOCaiaacIcacaqG6bWaaSba aSqaaiaabshaaeqaaOGaeyOeI0YaaSbaaSqaaiaabshacqGHsislca aIXaaabeaakiaabQhadaWgaaWcbaGaaeiDaaqabaGccaGGPaGaeyOe I0IaeqOUdS2aaSbaaSqaaiaabshaaeqaaOGaae4yaiaab+gacaqG2b Gaai4EaiaacIcacaqG4bWaaSbaaSqaaiaabshaaeqaaOGaeyOeI0Ya aSbaaSqaaiaabshacqGHsislcaaIXaaabeaakiaabIhadaWgaaWcba GaaeiDaaqabaGccaGGPaGaaiilaiaacIcacaqG6bWaaSbaaSqaaiaa bshaaeqaaOGaeyOeI0YaaSbaaSqaaiaabshacqGHsislcaaIXaaabe aakiaabQhadaWgaaWcbaGaaeiDaaqabaGccaGGPaGaaiyFaaaa@69FD@