Question: In Example 6.6, the ????i were derived for the AR(2) model and given in (6.18). Observe that, if a2 = 0, then ????1 = a1

In Example 6.6, the ????i were derived for the AR(2) model and given in (6.18). Observe that, if a2 = 0, then ????1 = a1 and ????2 = a2 1 = ????2 1. It is of interest to know if ????2 can equal ????2 1 if a2 ≠ 0.

Show that it cannot.

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