Question: Consider a random walk model with the following equation Yt

Consider a random walk model with the following equation: Yt = Yt - 1 + et, where et is a random series with mean 0 and standard deviation 1. Specify a moving average model that is equivalent to this random walk model. In particular, what is the appropriate span in the equivalent moving average model? What is the smoothing effect of this span?




Sale on SolutionInn
Sales0
Views78
Comments
  • CreatedApril 01, 2015
  • Files Included
Post your question
5000