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Please show work for thumbs up:) Suppose the stock return y; follows an AR(1) process: Yt = 0.1 +0.27t-1 + ut WN(0,1) ut (a) Compute
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Suppose the stock return y; follows an AR(1) process: Yt = 0.1 +0.27t-1 + ut WN(0,1) ut (a) Compute E(y), Y; 71, and T1. (b) Suppose y = 0.4. Compute Er(4t+1), MSPE[E{(y+1)], E (4+2), and MSPE[Ex(4+2)]. Suppose the stock return y; follows an AR(1) process: Yt = 0.1 +0.27t-1 + ut WN(0,1) ut (a) Compute E(y), Y; 71, and T1. (b) Suppose y = 0.4. Compute Er(4t+1), MSPE[E{(y+1)], E (4+2), and MSPE[Ex(4+2)]
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