ENGR.ECONOMIC ANALYSIS
ENGR.ECONOMIC ANALYSIS
14th Edition
ISBN: 9780190931919
Author: NEWNAN
Publisher: Oxford University Press
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5. Simulate the following AR(2) processes:
Yt=1+0.3 Yt-1 +0.7 Yt-2+ɛtYt-1-0.3 Yt-1 -0.7 Yt-2+εt
for øpt → N(0, 1). Comment on their differences: Contrast their time series and their autocorrelation
functions. Comment on the covariance-stationary properties of both processes.
41%
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Transcribed Image Text:5. Simulate the following AR(2) processes: Yt=1+0.3 Yt-1 +0.7 Yt-2+ɛtYt-1-0.3 Yt-1 -0.7 Yt-2+εt for øpt → N(0, 1). Comment on their differences: Contrast their time series and their autocorrelation functions. Comment on the covariance-stationary properties of both processes. 41%
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