Suppose now the time series is linear trend + cycle process Yt = c + Bt + Ct + €t E4 ~ WN(0, o²) (a) Suppose the Cț is as in MA(1) process. Which process does the first difference follow ? (b) Suppose the Cţ is as in AR(1) process. Which process does the first difference follow ? (c) Extend this reasoning for the case of Ct following ARMA(p,q). (d) What effect does taking differences have on time series dynamics ?

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