The moving average model of order q has the form where et is a serially uncorrelated random
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where et is a serially uncorrelated random variable with mean 0 and variance σ2e.
a. Show that E(Yt) = β0.
b. Show that the variance of Yt is
c. Show that pj = 0 for j > q.
d. Suppose that q = 1. Derive the autocovariances for Y.
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Related Book For
Introduction to Econometrics
ISBN: 978-0133595420
3rd edition
Authors: James H. Stock, Mark W. Watson
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