Verify that in Example 15.2 Y1,t - Y2,t is stationary. Example 15.2 Model (15.2)-(15.3) was simulated with
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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.
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Related Book For
Statistics And Data Analysis For Financial Engineering
ISBN: 9781461427490
1st Edition
Authors: David Ruppert
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