Question: Consider the innite order MA process de ned by yt = t+a( t 1+ t 2+ ) where a is a constant and the ts

Consider the innite order MA process de ned by yt = t+a( t 1+ t 2+ )

where a is a constant and the ts are i.i.d. N(0v) random variables.

(a) Show that yt is nonstationary.

(b) Consider the series of rst di erences zt = yt yt 1 Show that zt is a MA(1) process. What is the MA coe cient of this process?

(c) For which values of a is zt invertible?

(d) Find the ACF of zt

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