Let Y* denote the first differences of U.S. GDP. Then our tentatively identified AR model is
846 PART FOUR: SIMULTANEOUS-EQUATION MODELS
Using Eviews, we obtained the following estimates:
We leave it as an exercise for the reader to estimate a model that contains only Y~t1 and a model that contains both Y~t x and Y*_8 terms and to compare the results with those given in (22.5.2).
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