Question: 18.9 Let {y,) be an I(1) sequence. Suppose that 8, is the one-step-ahead forecast of Ay,+ and let f = + y,, be the one-step-ahead

18.9 Let {y,) be an I(1) sequence. Suppose that 8, is the one-step-ahead forecast of Ay,+ and let f = + y,, be the one-step-ahead forecast of y,+1. Explain why the fore- cast errors for forecasting Ay,+1 and y,+1 are identical.

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