Exercise 6.9.4. Consider the simple linear regression model yt = + t +et , where et
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Exercise 6.9.4. Consider the simple linear regression model yt = α +β t +et , where et is a white noise process. Let wt be the symmetric moving average of order 5 introduced in Example 6.6.1 as applied to the yt process. Find E(wt ) and Cov(wt ,wt+k). Is the wt process stationary? Why or why not?
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