RDP 8601: Classical Models and Unobserved Aggregates
Equation (14)
κ
t
=
cov
{
(
z
t
−
t
−
1
z
t
)
,
(
x
t
−
t
−
1
x
t
)
}
x
{
var
(
x
t
−
t
−
1
x
t
)
}
−
1
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