Consider the following two MA (I) processes yt = 1.2 + 0.8t1 + t yt = 1.2

Question:

Consider the following two MA (I) processes
yt = 1.2 + 0.8εt–1 + εt
yt = 1.2 + 1.25εt–1 + εt
What similarities/differences do you expect to see in their autocorrelations? Now, simulate 100 observations from each of these processes. Compute their sample autocorrelation functions up to lag 10 and observe that they exhibit the same pattern. Which representation is invertible?