Question: 5 point Consider the following process y t = l o n t + 1 . 1 y t - 1 - 0 . 3

5 point
Consider the following process yt=lont+1.1yt-1-0.3yt-2 where lontWN(0,1). We observe that yT=1.1,yT-
1=0.8,lonT=0.9. What is the variance of 3-step ahead forecast error?
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5 point Consider the following process yt=lont+1.1yt-1-0.3yt-2 where lontWN(0,1). We observe

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