Consider an MA(1) model and suppose we have the observed values Y₁ = 0, Y₂ = −1, andY3 = 1/3. Find the conditional least squares estimator of 0 and the method of moments estimator of σ².

In an MA(1) model (moving average model of order 1), the value at time \( t \) is determined by the…

Answered: Consider an MA(1) model and suppose we…

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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Consider an MA(1) model and suppose we have the observed values Y₁ = 0, Y₂ = −1, and Y3 = 1/3. Find the conditional least squares estimator of 0 and the method of moments estimator of σ².