Question: Problem 2 (20 marks). Determine which of the following processes are stationary and invertible. In the following we always assume that Ut is white noise

Problem 2 (20 marks). Determine which of the following processes are

Problem 2 (20 marks). Determine which of the following processes are stationary and invertible. In the following we always assume that Ut is white noise with mean zero and variance o2, i.e. Ut ~ WN(0,02). a) yt = -0.24t-1 + 0.48Yt-2 + Ut; [5 marks] b) yt = -1.9yt-1 0.88yt-2 + Ut + 1.8ut-1 +0.81ut-2; [5 marks] c) Yt + 1.6yt-1 = Ut 0.4Ut-1 + 0.04ut-2; [5 marks) d) Yt = Ut 19072. [5 marks]

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