Question 1Consider the AR (2) process y = 1+0.9yt-1-0.3yt-2+u, te Z with u~ N(0,2).(i) Suppose that y = 1.0, yt-1 = 1.2. Forecast yt+1, 3+2 and yt+3.(ii) Determine the forecast error variances o2(1), (2) and (3).(iii) Compute the 95% interval for the forecasts for yt+1; yt+2 and yt+3.

Answered: Consider the AR (2) process y =…

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 the AR (2) process y = 1+0.9-1-0.3y-2+u, te Z with u~. N(0,2). (i) Suppose that y = 1.0, -1 = 1.2. Forecast ye+1+ ye+2 and yt+3. (ii) Determine the forecast error variances o2(1), (2) and (3). (iii) Compute the 95% interval for the forecasts for yt+1, yt+2 and yt+3.