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Unformatted text preview: 3. Consider the process y t = t + 2 t1 , where t is i.i.d. and distributed as N (0 , 1). Calculate the autocorrelation function of y t . 4. Consider the lag polynomial a ( L ) = p j =0 a j L j , for which the a j are realvalued. Assume that a ( z ) has all its roots outside the unit circle. (a) Why will a (1) /a (0) > 0 if all roots are realvalued? (b) (hard) Why will a (1) /a (0) > 0 always (i.e. also if some roots are possibly complexvalued)? 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
 Econometrics

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