Question: Take the AR(2) model Yt 1Yt1 2Yt1 et . (a) Find expressions for the impulse responses b1, b2, b3 and b4. (b) Let (b

Take the AR(2) model Yt Æ ®1Yt¡1 Å®2Yt¡1 Ået .

(a) Find expressions for the impulse responses b1, b2, b3 and b4.

(b) Let (b®
1,b®
2) be the least squares estimator. Find an estimator of b2.

(c) Let bV be the estimated covariance matrix for the coefficients. Use the delta method to find a 95%
asymptotic confidence interval for b2.

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