TS Module 9: Non-stationary ARIMA time series HW
(The attached PDF file has better formatting.)
Homework assignment: Non-stationary autoregressive process
A time series Yt = â × Yt-1 + åt has = 3, where k is a constant. (The textbook has â = 3.)
A. What is the variance of Yt as a function of â and t?
B. What is ñ(yt,yt-k) as a function of â, k, and t?
See equations 5.1.4 and 5.1.5 on page 89.
{Note: This homework assignment has been replaced because of an unclear equation in the textbook; see the new homework assignment. If you have submitted this assignment already, you will be given credit.}
rmconrad, the variance of Y0 is simply the variance of the initial error, e0. The variance of betatY0 should easily follow from there, recalling the rules of variance and beta a constant. Let me know if you have further questions.
RDH