That's right. The correct formula is:
\mu_i = x_i \beta - (y_1 - \mu_1)(-\phi)^{i - 1}
- \sum_{j=1}^{i-2} (y_{i-j} - x_{i-j} \beta) (-\phi)^j
Kosuke
On Mon, 21 Apr 2003, Charles Duan wrote:
Hi,
For the formula on past shocks (slide 78 on smodels.pdf), should the
second-to-last formula be:
\mu_i = x_i \beta - (y_1 - \mu_1)(-\phi)^{i - 1} <- (was just i)
- \sum_{j-1}^{i-2} <- (was i-1)
...
I've checked this out with i=4 and it seems to be correct.
Charles
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