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Consider the following model t = 0.01 + 0.1 t-1 + t , where t = t t , t 2 = 0.1 + 0.1

  1. Consider the following model

t = 0.01 + 0.1t-1 + t,

where t = t t , t2 = 0.1 + 0.12t-1+ 0.85t-12 , t ~(0,1) for all t.

a) Calculate the variance oft

b) Calculate the mean and variance oft

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