The present application concerns the relation between per capita consumption (LogConsumption), per capita income
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Problem 2
Consider the autoregressive process defined by the equations:
(4)
(5)
with
initial values
and where
are independent white noise random variables.
Question 2.1
Show
that the solution for
is given by:
(6)
(7)
Question 2.2
Verify
that these solutions for
satisfy equations (4) and (5).
Question 2.3
Is
a co-integrating relation? Discuss.
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fact that
standard deviation
regression equation
and where 
are independent white noise random variables.
is given by:
a co-integrating relation? Discuss.