Verify that in Example 15.2 Y1,t - Y2,t is stationary. Example 15.2 Model (15.2)-(15.3) was simulated with 1 = 0.5, 2 = 0.55, and

Verify that in Example 15.2 Y1,t - λY2,t is stationary.
Example 15.2
Model (15.2)-(15.3) was simulated with ϕ1 = 0.5, ϕ2 = 0.55, and λ = 1. A total of 5000 observations was simulated, but, for visual clarity, only every 10th observation is plotted in Figure 15.2. Neither Y1,t nor Y2,t is stationary, but Y1,t - λY2,t is stationary. Notice how closely Y1,t and Y2,t track each other.