Take the non linear process 1- Y = Y8-* where & is i.i.d. with positive support...

 

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Take the non linear process 1-α Y₁ = Y₁₁8¹-* where & is i.i.d. with positive support (i.e., log&t and log Yt are well defined). 1. Find the condition under which log Yt is stationary. 2. Find an explicit expression for Y₁ as a function of (εt, &t–1, ... ). Hint: first, find an expression for log Yt as a function of (log εt, log &t-1, . . . ), then use the exponential function. Take the non linear process 1-α Y₁ = Y₁₁8¹-* where & is i.i.d. with positive support (i.e., log&t and log Yt are well defined). 1. Find the condition under which log Yt is stationary. 2. Find an explicit expression for Y₁ as a function of (εt, &t–1, ... ). Hint: first, find an expression for log Yt as a function of (log εt, log &t-1, . . . ), then use the exponential function.