Introductory Econometrics 4th Edition by Jeffrey Wooldridge

Exercise 7

Let {xt: t _ 1, 2, …} be a covariance stationary process and define h= Cov(xt, xt+h) for h 0. [Therefore, 0= Var(xt).] Show that Corr(xt, xt_h) = h/ 0