Simulate the following AR(2) processes: Yt = 1 + 0.3Yt1 + 0.7Yt2 + t Yt = 1
Question:
Yt = 1 + 0.3Yt–1 + 0.7Yt–2 + εt
Yt = 1 – 0.3Yt–1 – 0.7Yt–2 + εt
for εt → N(0. 1). Comment up their differences: Contrast their time series and their autocorrelation functions. Comment on the covariance-stationary properties of both processes.
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Related Book For
Forecasting for Economics and Business
ISBN: 978-0131474932
1st edition
Authors: Gloria Gonzalez Rivera
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