Practice Question 1.2D


Practice Question 1.2D

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evi
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An ARMA(1,1) model with ö1 = 0.6, è1 = 0.4 is converted to a filter representation yt : =

ø0 åt + ø1 åt-1 + ø2 åt-2 + …

A. What is ø0?

B. What is ø1?

C. What is ø2?

D. What is øj?

 

Shouldn't the answer to D be .6^(j-1)*.2 not .2^(j-1)*.6?

Thanks.


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