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Unformatted text preview: (g)  θ 2  < 1 (h) y t = μ + (1 + θ 2 L ) ε t ⇒ y t (1+ θ 2 L ) = μ (1+ θ 2 ) + ε t which is an AR ( ∞ ) 3 . ( a ) T his m etho d o f s u btractin g the series at lag 4 (for quarterly data) is known as seasonally di f erencing. (b) Given that we have an AR (2) we cannot start at 1960:Q1 because we would need values for y at 1959:Q4 and 1959:Q3. Thus we must start at 1960:Q3. (c) Yes. Each of the AR roots are less than one. (d) No. One of the MA roots is greater than one. 1...
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This note was uploaded on 02/02/2012 for the course ECON 467 taught by Professor Henderson during the Fall '11 term at Binghamton University.
 Fall '11
 HENDERSON
 Economics, Econometrics

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