Question: Suppose that Yt Xt et Xt Xt1 ut where the errors et and ut are mutually independent i.i.d. processes. Show that Yt is

Suppose that Yt Æ Xt Ået Xt Æ ®Xt¡1 Åut where the errors et and ut are mutually independent i.i.d. processes. Show that Yt is an ARMA(1,1)

process.

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