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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.

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.

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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Question 1 Consider 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.
Transcribed Image Text:Question 1 Consider 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.
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