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t2_x
2007 May 08
2
statistics/correlation question NOT R question
This is not an R question but if anyone can help me, it's much
appreciated.
Suppose I have a series ( stationary ) y_t and a series x_t ( stationary
)and x_t has variance sigma^2_x and epsilon is normal
(0, sigma^2_epsilon )
and the two series have the relation
y_t = Beta*x_t + epsilon
My question is if there are particular values that sigma^2_x and
sigma^2_epsilon have to take in order for corr(x_t,y_t) to equal Beta ?
I attempted to figure this out using two diffe...