4. Consider an ARMA(2,1) process yytt = plyt-1 + 02yt-2+ t +0et-1 where st~WN(0, 2), 10|...
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4. Consider an ARMA(2,1) process yytt = plyt-1 + 02yt-2+ εt +0et-1 where st~WN(0, 2), 10| < 1, and the inverse roots of the lag polynomial for the AR process are both less than 1 in absolute value. 4.a. What condition has to be satisfied by p1 and 2 in order for the inverse roots of the lag polynomial for the AR process to both be less than 1 in absolute value? 4.b Develop an equation for the one-period-ahead forecast, yT+1,T. 4.c Develop an equation for the one-period-ahead forecast error, eT+1,T. 4.d Develop an equation for the one-period-ahead forecast error variance, 01 2. 4. Consider an ARMA(2,1) process yytt = plyt-1 + 02yt-2+ εt +0et-1 where st~WN(0, 2), 10| < 1, and the inverse roots of the lag polynomial for the AR process are both less than 1 in absolute value. 4.a. What condition has to be satisfied by p1 and 2 in order for the inverse roots of the lag polynomial for the AR process to both be less than 1 in absolute value? 4.b Develop an equation for the one-period-ahead forecast, yT+1,T. 4.c Develop an equation for the one-period-ahead forecast error, eT+1,T. 4.d Develop an equation for the one-period-ahead forecast error variance, 01 2.
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4a In order for the inverse roots of the lag polynomial for the AR process to both be less than 1 ... View the full answer
Related Book For
Income Tax Fundamentals 2013
ISBN: 9781285586618
31st Edition
Authors: Gerald E. Whittenburg, Martha Altus Buller, Steven L Gill
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