The Second Step in the First Iteration of the Cochrane-Orcutt $e _ { t } = \rho e _ { t - 1 } + u _ { t }$

Multiple Choice

The second step in the first iteration of the Cochrane-Orcutt method for AR(1) is to estimate the model

A) $e _ { t } = \rho e _ { t - 1 } + u _ { t }$ to generate an estimate of $\hat { \rho }$ .
B) $e _ { t - 1 } = \rho e _ { t } + u _ { t }$ to generate an estimate of $\hat { \rho }$ .
C) $e _ { t } = \rho _ { 1 } e _ { t - 1 } + \rho _ { 2 } e _ { t - 2 } + u _ { t }$ to generate an estimate of $\hat { \rho } _ { 1 }$ and $\hat { \rho } _ { 2 }$ .
D) $y _ { t } = \rho x _ { t - 1 } + u _ { t }$ to generate an estimate of $\hat { \rho }$ .