Simulate the following AR( I) processes: Yt = 1 + 0.7Yt1 + t Yt = 1
Question:
Yt = 1 + 0.7Yt–1 + εt
Yt = 1 – 0.7Yt–1 + εt
for ε → N(0. 1). Comment on their differences: Contrast their time series and their autocorrelation functions. Comment on the covariance-stationary properties of both processes.
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We simulate 2000 observations from the following two AR1 processes and plot 200 observations Y t 1 0...View the full answer
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Forecasting for Economics and Business
ISBN: 978-0131474932
1st edition
Authors: Gloria Gonzalez Rivera
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