Question: Consider the following models: (i) yt = 0.8yt2 + t + 0.2t1 (ii) yt = 0.8yt2 + t + 0.7t3 (iii) yt = t (a)

Consider the following models:

 

(i) yt = 0.8yt−2 + εt + 0.2εt−1

 

(ii) ∆yt = 0.8∆yt−2 + εt + 0.7εt−3

 

(iii) yt = εt

 

(a) Identify each of the three models as ARIMA(p, d, q) by specifying the corresponding orders p, d, and q. 

 

(b) For the model (i) derive the corresponding MA(∞) representation and AR(∞) representation. 

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a Model i is given as y t 08y t2 t 02 t1 y t 08y t2 t 02 t1 Thus from above it is clear that p 2 d ... View full answer

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