Answered step by step
Verified Expert Solution
Link Copied!

Question

1 Approved Answer

Variable y t follows MA(2) model. y t = 4.3 + e t + 0.9* e t -1 + 0.1*e t-2 e t is normally

Variable yt follows MA(2) model.

yt = 4.3 + et + 0.9* et -1 + 0.1*et-2

et is normally distributied w.noise process, variance o2 =6

calculate the response of yt+1 to a shock et , response described; IR(yt+1 | et) = dyt+1 / det

calculate the response of yt+2 to a shock et, IR(yt+2 | et) = dyt+2 / det

Step by Step Solution

There are 3 Steps involved in it

Step: 1

blur-text-image

Get Instant Access to Expert-Tailored Solutions

See step-by-step solutions with expert insights and AI powered tools for academic success

Step: 2

blur-text-image

Step: 3

blur-text-image

Ace Your Homework with AI

Get the answers you need in no time with our AI-driven, step-by-step assistance

Get Started

Recommended Textbook for

Mathematics In Middle And Secondary School A Problem Solving Approach

Authors: Alexander Karp, Nicholas Wasserman

1st Edition

1623968143, 9781623968144

More Books

Students also viewed these Mathematics questions

Question

What factors affect the market rates for bonds?

Answered: 1 week ago