Consider the following models: (i) yt = 0.8yt2 + t + 0.2t1 (ii) yt = 0.8yt2 +
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Question:
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.
Related Book For
Statistics for Business and Economics
ISBN: 978-0132930192
8th edition
Authors: Paul Newbold, William Carlson, Betty Thorne
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