Question: Q4. (Theoretical/Practical Question - 7 points) In this question we develop Yule-Walker estimator in AR(1) and ARMA(1, 1) models and study their numerical performance. .

Q4. (Theoretical/Practical Question - 7 points) In this question we develop Yule-Walker estimator in AR(1) and ARMA(1, 1) models and study their numerical performance. . Recall from lectures that in AR(1) model Xt = $Xt-1 + Z: the Yule-Walker estimator is 6 - Yx (1) Yx (0) px ( 1 ) , 82 = 7x (0 ) - byx ( 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() and then copy and paste). This is data set generated from AR(1) model with $ = 0.8. - Type var (Data) to obtain 7x (0). - Type ACF

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