This preview shows page 1. Sign up to view the full content.
Unformatted text preview: 3. Consider the process y t = t + 2 t-1 , 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 real-valued. As-sume that a ( z ) has all its roots outside the unit circle. (a) Why will a (1) /a (0) > 0 if all roots are real-valued? (b) (hard) Why will a (1) /a (0) > 0 always (i.e. also if some roots are possibly complex-valued)? 1...
View Full Document
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