Question: 2. Consider the time series process {v} given by vt = wt +0.5wt-1 Wt-2, where {w} is a sequence of independently and identically distributed

2. Consider the time series process {v} given by vt = wt

2. Consider the time series process {v} given by vt = wt +0.5wt-1 Wt-2, where {w} is a sequence of independently and identically distributed random variables with mean equal to zero and variance equal to one. (a) Derive the mean, variance, and autocovariances of ut. [6 marks] (b) Use your answer to part (a) to assess whether it is a white noise process. [2 marks]

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