Question: Take themodel (L)Yt ut (L)ut et where (L) and (L) are p and q order lag polynomials. Show that these equations imply that

Take themodel

®(L)Yt Æ ut

¯(L)ut Æ et where ®(L) and ¯(L) are p and q order lag polynomials. Show that these equations imply that

°(L)Yt Æ et for some lag polynomial °(L). What is the order of °(L)?

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