Question: Suppose that Yt is generated according to an AR(p) process, Yt = 1Yt1 2Yt2 ... pYtp t where t iid (0,2)and the roots of (11z2z2

Suppose that Yt is generated according to an AR(p) process, Yt = 1Yt1 2Yt2 ... pYtp t where t iid (0,2)and the roots of (11z2z2 ...pzp)=0 are all outside the unit circle. However, the econometrician does not observe Yt directly but instead has available Xt, with Xt = Yt ut ut iid (0, u2) Assume further that E (ut ) = 0 t, . show that Xt has an ARMA(p, p) representation

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