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1) Consider the MA(1) model y, = u+&+ 0&+1+ V, where v-N(0,0), j0| < 1. a) Under what conditions is the process covariance stationary? b) What condition is required to insure invertibility? c) Why is invertibility a desirable property? d) Show that first differencing the following equation will result in an MA(1) model. yt =a+ bT +et Where Y time trend (1,2,3,4,....)

1) Consider the MA(1) model y, = u+&+ 0&+1+ V, where v-N(0,0), j0| < 1. a) Under what conditions is the process covariance stationary? b) What condition is required to insure invertibility? c) Why is invertibility a desirable property? d) Show that first differencing the following equation will result in an MA(1) model. yt =a+ bT +et Where Y time trend (1,2,3,4,....)

MATLAB: An Introduction with Applications
MATLAB: An Introduction with Applications
6th Edition
ISBN:9781119256830
Author:Amos Gilat
Publisher:Amos Gilat
Chapter1: Starting With Matlab
Section: Chapter Questions
Problem 1P
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1) Consider the MA(1) model yt H+& + 0&1+v, where v-N(0,0), 10|< 1. a) Under what conditions is the process covariance stationary? b) What condition is required to insure invertibility? c) Why is invertibility a desirable property? d) Show that first differencing the following equation will result in an MA(1) model. yt a+ bT +et Where Y= time trend (1,2,3,4,....)
Transcribed Image Text:1) Consider the MA(1) model yt H+& + 0&1+v, where v-N(0,0), 10|< 1. a) Under what conditions is the process covariance stationary? b) What condition is required to insure invertibility? c) Why is invertibility a desirable property? d) Show that first differencing the following equation will result in an MA(1) model. yt a+ bT +et Where Y= time trend (1,2,3,4,....)
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