Appendix 11a

11A.1 PROOF OF EQUATION (11.2.2)

From Appendix 3A, Section 3A.3, we have var (fa) = E(*?u + k22u2 + ...+%& + 2 cross-product terms = E(k2u2 + k22u2 + ...+£1$)

since the expectations of the cross-product terms are zero because of the assumption of no serial correlation, var (fa) = k2 E(u) + k2 E(u2) + ■ ■ ■ + E(u$)

since the ki are known. (Why?)

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