Consider the process where S0 = 0 and {ut : t ∈ Z} is an i.i.d. random variable with N(0,σ2). a) DeterminethemeanandcovariancefunctionoftheprocessSt.Isthisprocessstrictlystationary?Second-order stationary? b) Show that the process Yt = (1 − L)St , t = 1,2,... is strictly stationary. Compute its mean and autocovariance function.
Consider the process where S0 = 0 and {ut : t ∈ Z} is an i.i.d. random variable with N(0,σ2). a) DeterminethemeanandcovariancefunctionoftheprocessSt.Isthisprocessstrictlystationary?Second-order stationary? b) Show that the process Yt = (1 − L)St , t = 1,2,... is strictly stationary. Compute its mean and autocovariance function.
Chapter1: Making Economics Decisions
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5.
Consider the process
where S0 = 0 and {ut : t ∈ Z} is an i.i.d. random variable with N(0,σ2).
a) DeterminethemeanandcovariancefunctionoftheprocessSt.Isthisprocessstrictlystationary?Second-order stationary?
b) Show that the process Yt = (1 − L)St , t = 1,2,... is strictly stationary. Compute its mean and autocovariance function.
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