Question: Take the nonlinear process Yt Y t1u1 t where ut is i.i.d. with strictly positive support. (a) Find the condition under which Yt

Take the nonlinear process Yt Æ Y ®

t¡1u1¡®

t where ut is i.i.d. with strictly positive support.

(a) Find the condition under which Yt is strictly stationary and ergodic.

(b) Find an explicit expression for Yt as a function of (ut ,ut¡1, ...).

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