Consider the AR(2) process y, = 1+1 3y₁-1-043₁-2 + U₁, te Z, (Z, the set of natural numbers) with u, -N (0, 1) (a) (1) D

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Consider The Ar 2 Process Y 1 1 3y 1 043 2 U Te Z Z The Set Of Natural Numbers With U N 0 1 A 1 D 1 (102.1 KiB) Viewed 38 times

Consider the AR(2) process y, = 1+1 3y₁-1-043₁-2 + U₁, te Z, (Z, the set of natural numbers) with u, -N (0, 1) (a) (1) Determine E(y,) (1) Determine Var(y,) (1) Determine the partial autocorrelations ₁ and 22 (b) Suppose that y, 1 0 and y, 12 Forecast y₁+1, +2 and y₁+3 (c) Determine the forecast error variances o²(1), ²(2) and (3) (d) Compute 95% interval forecasts for y₁+1, +2 and +3 - M (3 marks) (2 marks) (5 marks) (6 marks) (3 marks) (3 marks)