Unformatted text preview: 2. Consider the MA(1) process y t = ε t + θε t-1 . Can y t can display explosive behavior for any value of θ ? 3. Consider the VAR (Vector Auto Regressive) process ± y t z t ¶ = ± . 5 0 . 2 . 3 ¶± y t-1 z t-1 ¶ + ± ε t η t ¶ ε t and η t are stochastic “errors” here. Argue whether or not y t and/or z t are explosive. 1...
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This note was uploaded on 07/17/2008 for the course ECON 840 taught by Professor De jong during the Spring '08 term at Ohio State.
- Spring '08
- DE JONG