Linear Time Series Models for Stationary data - Feweb

Practical purpose of linear time series analysis
If yt is stationary, a nearly standard regression interpretation of (7.2)
applies.
We strive to minimize the variance and remove serial correlation in
the “error term”, εt, using parsimonious linear models for the
deterministic part and the predictable stochastic part of yt.
Exercise (4): Show that the Durbin-Watson statistic is a consistent
estimator of 2(1 −ρ1), c.f. §5.5.3. Which of the three regression models
above is optimal in this respect using standard regression criteria?
Chapter 7.1 Heij et al, TI Econometrics II 2006/2007 – p. 19/24