Question
2. Suppose thatYtfollows the stationary AR (1) modelYt=2.5+0.7Yt1+ϵt, whereϵtis i.i.d. withE(ϵt)=0andVar(ϵt)=9. a) Compute the mean and variance ofYt b) Compute the first two autocovariances ofYt
2. Suppose thatYtfollows the stationary AR (1) modelYt=2.5+0.7Yt1+ϵt, whereϵtis i.i.d. withE(ϵt)=0andVar(ϵt)=9.
a) Compute the mean and variance ofYt
b) Compute the first two autocovariances ofYt
c) Compute the first two autocorrelations ofYt
d) Suppose thatYT=102.3. Compute
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International Economics
Authors: Thomas A. Pugel
15th edition
73523178, 978-0077769529, 007776952X, 978-0073523170
