Show that (15.4) implies that Y1,t-1 - Y2,t1 is an AR(1) process with coefficient 1 + 1

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Show that (15.4) implies that Y1,t-1 - λY2,t−1 is an AR(1) process with coefficient 1 + ϕ1 − λϕ2.

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Statistics And Data Analysis For Financial Engineering

ISBN: 9781461427490

1st Edition

Authors: David Ruppert

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Question Posted: Jun 24, 2016 06:31 AM

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Show that (15.4) implies that Y1,t-1 - Y2,t1 is an AR(1) process with coefficient 1 + 1

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Now Eq 154 from the book is given by Y 1t Y 2t 1 2 Y 1t1 Y 2t1 1t 2t 20 When we use the ...View the full answer

Statistics And Data Analysis For Financial Engineering

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