RDP 8601: Classical Models and Unobserved Aggregates
Equation (28)
cov
{
y
t
,
(
(
M
t
−
M
t
−
1
)
−
E
t
−
1
(
M
t
−
M
t
−
1
)
)
}
=
(
α
/
(
1
+
α
)
)
(
σ
η
2
+
φ
(
φ
−
1
)
σ
2
+
σ
υ
2
)
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