Consider the process Yt epsilon1 for t 1, aYt 1 epsilont for t 1 i e , Y equals the AR(1) process, conditional on Yo 0 Compute E(Yt) Var(Yt) and Cou(Yt, Yt s) Is there something like asymptotic stationarity for t infinity (ii) Choose a epsilon ( 1,1), a 0, and compute the correlation matrix of Y1,...

Consider the process Yt = {epsilon1 for t=1, aYt-1+epsilont for t>1. i.e., Y equals the AR(1)-process,...

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Introduction to Econometrics

ISBN: 978-0133595420

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Authors: James H. Stock, Mark W. Watson

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Consider the process Yt = {epsilon1 for t=1, aYt-1+epsilont for t>1. i.e., Y equals the AR(1)-process,...

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