{4^t. ne condition on B for the MA(1) to be invertible.

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(b) Consider the general linear process {Xt},
Xt = €t + ßΣj=1 €t-j, ao = 1 where is a constant and
Et ~ iid(0, 0²).
Transcribed Image Text:(b) Consider the general linear process {Xt}, Xt = €t + ßΣj=1 €t-j, ao = 1 where is a constant and Et ~ iid(0, 0²).
(ii) Show that {AXt} is MA(1) and determine
the condition on ß for the MA(1) to be invertible.
Transcribed Image Text:(ii) Show that {AXt} is MA(1) and determine the condition on ß for the MA(1) to be invertible.
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