1st order Taylor Series derivative calculation for autoregressive model
I guess the differentiation is wrong.
$y^{*}_{t+1} = w_{t+1}f(t) + \frac{df(t+1)}{d(t+1)}$
$y^{*}_{t+1} = w_{t+1}f(t) + \frac{d(w_{t+1}f(t))}{dt}*\frac{dt}{d(t+1)}$
$y^{*}_{t+1} = w_{t+1}f(t) + w_{t+1}\frac{df(t)}{dt} + f(t)\frac{dw_{t+1}}{dt}$