Question: 4. Consider an ARMA(1,1) process yt = QVt-1+ & + 08t-1 where Et~WN(0, 62), and the |p| 4. 4.a. 4.b. 4.c. Consider an ARMA(I,I) process

4. Consider an ARMA(1,1) process yt = QVt-1+ & + 08t-1 where Et~WN(0, 62), and the |p|

4. 4.a. 4.b. 4.c. Consider an ARMA(I,I) process Yt = (Ph-I + Et + 9Et-1 where 02), and the < 1 and 191 < 1. Develop an equation for the one-period-ahead forecast YT+I,T and one for the two- period-ahead forecast YT+2,T. Develop an equation for the one-period-ahead forecast error, eT+1,T and one for the two- period-ahead forecast error eT+2,T. Develop an equation for the one-period-ahead forecast error variance, 01 and one for the two-period ahead forecast error variance c;.

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