Question: 15.9 The moving average model of order q has the form Yt = b0 + et + b1et - 1 + b2et - 2 +

15.9 The moving average model of order q has the form Yt = b0 + et + b1et - 1 + b2et - 2 + g+ bqet - q, where et is a serially uncorrelated random variable with mean 0 and variance s2e

a. Show that E1Yt2 = b0.

b. Show that the variance of Yt is var1Yt2 = s2e 11 + b21

+ b22

+ g+ b2 q2.

c. Show that rj = 0 for j 7 q.

d. Suppose q = 1. Derive the autocovariances for Y.

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