b) Consider the following simple AR (1) model Y: = u + Ø1ye + u, Show that the unconditional mean of y, is given by E[y;] 1- Ø1
b) Consider the following simple AR (1) model Y: = u + Ø1ye + u, Show that the unconditional mean of y, is given by E[y;] 1- Ø1
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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![b) Consider the following simple AR (1) model
Ye = 4 +Ø1Y¢ + u;
Show that the unconditional mean of y, is given by
E[y;]
1- Ø1
2](/v2/_next/image?url=https%3A%2F%2Fcontent.bartleby.com%2Fqna-images%2Fquestion%2F005bc346-9e42-4168-a798-92139c4eb6d2%2F0a9f3582-da42-4104-9759-ef380f552c72%2F660w53e_processed.png&w=3840&q=75)
Transcribed Image Text:b) Consider the following simple AR (1) model
Ye = 4 +Ø1Y¢ + u;
Show that the unconditional mean of y, is given by
E[y;]
1- Ø1
2
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