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RDP 8601: Classical Models and Unobserved Aggregates
Equation (29)
cov
{
y
t
,
(
(
M
^
t
−
M
^
t
−
1
)
−
E
t
−
1
(
M
^
t
−
M
^
t
−
1
)
)
}
=
(
1
/
(
1
+
α
)
)
(
(
β
−
γ
)
/
(
1
+
α
)
)
σ
S
2
+
(
α
/
(
1
+
α
)
)
{
(
(
α
β
+
γ
)
/
(
1
+
α
)
)
(
σ
η
2
+
φ
2
σ
2
+
σ
ν
2
+
σ
d
2
)
+
(
1
+
δ
)
σ
η
2
+
φ
2
σ
2
+
σ
ν
2
}
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