2. Consider a following time series process Yt = 1.5Yt−1 −0.5Yt−2 +εt a) Rewrite this process...

Question

Question

2. Consider a following time series process Yt = 1.5Yt−1 −0.5Yt−2 +εt

a) Rewrite this process in lag polynomial form.

b) Is this process invertible? Is this process covariance stationary?

c) Difference this process once and show that ΔYt = Yt −Yt−1 is covariance stationary.

Answer 1

Answer #1

Answer 2

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