Let {ei: t = - 1, 0, 1, ...} be a sequence of independent, identically distributed random
Question:
x, = et - (l/2)e1-1 + (l/2)e1-2, t = 1,2,....
(i) Find E(xt) and Var(xt). Do either of these depend on t?
(ii) Show that Corr(xt" xt+1) = -1/2 and Corr(xt, x1+2) = 1/3. (It is easiest to use the formula in Problem 11.1.)
(iii) What is Corr(x1, xl+h) for h > 2?
(iv) Is {xt} an asymptotically uncorrelated process?
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Related Book For
Introductory Econometrics A Modern Approach
ISBN: 978-0324660548
4th edition
Authors: Jeffrey M. Wooldridge
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