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Exercise n. 2: Analyzing the time series Y(t), t=1,60, you have found that the following MA(2) model fits the data well: Y(t) = e(t) +
Exercise n. 2: Analyzing the time series Y(t), t=1,60, you have found that the following MA(2) model fits the data well:
Y(t) = e(t) + .2*e(t-1) -.3*e(t-2), var{e(t)} = 8.2.
Q5. Derive the average and the variance of Y(t) implied by this model
Q6. Derive cov{Y(t), Y(t-1)}
Q7. Derive the forecasting function implied by this model for periods 61, 62, 63.
Q8. Derive the variance of the forecasting errors for periods 61, 62 and 63.
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