Question: 4 (Q7) (Theoretical/Practical Question) In this question we develop Yule-Walker estimators in AR(1) and ARMA(1, 1) models and study their numerical performance. Recall from lectures

4 (Q7) (Theoretical/Practical Question) In this question we develop Yule-Walker estimators in AR(1) and ARMA(1, 1) models and study their numerical performance. Recall from lectures that in AR(1) model Xt = oXt-1 + Z: the Yule-Walker estimator is 7 - Yx (1 ) 7x (0) = px (1) , 82 = 7x (0) - 87x(1) = 7x(0) - px(1)27x(0). (a) Numerical experiment for AR(1): * Load into R the file Data-AR.txt. (Just type Data=scan(file.choose()) and then copy and paste). This is data set generated from AR(1) model with o = 0.8. * Type var (Data) to obtain 7x (0). * Type ACF

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