What does write out the derivations in the format shown on page 15 mean?

[NEAS: Use the format of equation 2.2.15.]

Actually I think I understand now why it is 8. Before I was doing the cov(yt, yt-3) = cov((e(t) + e(t-1))/2, (e(t-3) + e(t-4))/2), but you actually need to use Yt and Y(t-3) from the equation that is given.

I am pretty sure that B should be 0 because t and t-3 have a covariance of 0 since the e's are independent. This is shown on page 15 of the text.

Anyone want to confirm this?

You only get 0 if the moving average has 2 terms.  For 5 terms, you have some "overlap", like e_t-3 and e_t-4

CJLID

I got 20 and 8 also

I got 0 for part be as well

How do you get 8 for part B.  I thought that since the abs value of (t-(t-3)) is greater than 1, the covariance would be 0.  (see between equations 2.2.15 and 2.2.16)

Yes

Can we assume that the e's are identical and independently distributed?

[NEAS: Yes]

Did anyone else get 20 for part A and 8 for part B?

A.     What is ã_t,t, the variance of Y_t?

B.     What is ã_t,t-3, the covariance of Y_t and Y_t-3?

 

Write out the derivations in the format shown on page 15.