Consider an AR(2) time series model of growth in real per capita GDP is given as: (1-0.805L-0.1215L²)x= 0.134+ at, where L is the lag operator and {a} are iid N(0, 1) variables. Is x, stationary? Why? If it is stationary, calculate E(x), the mean of xt.
Consider an AR(2) time series model of growth in real per capita GDP is given as: (1-0.805L-0.1215L²)x= 0.134+ at, where L is the lag operator and {a} are iid N(0, 1) variables. Is x, stationary? Why? If it is stationary, calculate E(x), the mean of xt.
Algebra & Trigonometry with Analytic Geometry
13th Edition
ISBN:9781133382119
Author:Swokowski
Publisher:Swokowski
Chapter5: Inverse, Exponential, And Logarithmic Functions
Section: Chapter Questions
Problem 9T
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Transcribed Image Text:Consider an AR(2) time series model of growth in real per capita GDP is given as:
(1-0.805L-0.1215L²)xt = 0.134 + at, where L is the lag operator and {at} are iid N(0,
1) variables. Is xt stationary? Why? If it is stationary, calculate E(xt), the mean of xt.
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