The moving average model of order q has the form where et is a serially uncorrelated random variable with mean 0 and variance 2e a Show that E(Yt) 0 b Show that the variance of Yt is c Show that pj 0 for j q d Suppose that q 1 Derive the autocovariances for Y bf...

a b where the final equality follows ...

The moving average model of order q has the form where et is a serially uncorrelated random

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The moving average model of order q has the form

where et is a serially uncorrelated random variable with mean 0 and variance Ïƒ2e.
a. Show that E(Yt) = Î²0.
b. Show that the variance of Yt is

c. Show that pj = 0 for j > q.
d. Suppose that q = 1. Derive the autocovariances for Y.

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Introduction to Econometrics

ISBN: 978-0133595420

3rd edition

Authors: James H. Stock, Mark W. Watson

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Question Posted: Apr 29, 2016 03:37 PM

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The moving average model of order q has the form where et is a serially uncorrelated random

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Introduction to Econometrics

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