Exercise 6.9.8. Let et and t be uncorrelated white noise processes. Let yt =1yt1+et and wt =1wt1+yt
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Exercise 6.9.8. Let et and εt be uncorrelated white noise processes. Let yt =φ1yt−1+et and wt =φ1wt−1+yt +εt .
Find the spectral density of wt .
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