Question 3: Consider an AR(1) process: Xt aXt-1 + Et (a) Check the stationarity conditions for...
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Question 3: Consider an AR(1) process: Xt aXt-1 + Et (a) Check the stationarity conditions for the AR(1) process. (b) Derive the autocorrelation function for this process. Sketch the cor- relogram which would arise in each of the following situations: (i) a = 0 (ii) 0 < a < 1 (iii) -1 < a < 0 (iv) a = 1 (v) a > 1 (vi) a < -1 In which of these situations is the series stationary? If a series is sta- tionary, what obvious feature do we expect the correlogram to have? What In which of these situations is the series stationary? If a series is sta- tionary, what obvious feature do we expect the correlogram to have? What 3 1 names are normally used for these series defined by (i) and (iv)? Question 3: Consider an AR(1) process: Xt aXt-1 + Et (a) Check the stationarity conditions for the AR(1) process. (b) Derive the autocorrelation function for this process. Sketch the cor- relogram which would arise in each of the following situations: (i) a = 0 (ii) 0 < a < 1 (iii) -1 < a < 0 (iv) a = 1 (v) a > 1 (vi) a < -1 In which of these situations is the series stationary? If a series is sta- tionary, what obvious feature do we expect the correlogram to have? What In which of these situations is the series stationary? If a series is sta- tionary, what obvious feature do we expect the correlogram to have? What 3 1 names are normally used for these series defined by (i) and (iv)?
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3a The stationarity conditions for an AR1 process are The process must be meanreverting so ... View the full answer
Related Book For
Engineering Economy
ISBN: 978-0132554909
15th edition
Authors: William G. Sullivan, Elin M. Wicks, C. Patrick Koelling
Posted Date:
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