应用宏观经济学的一道题 如下

zzz金融小白 |浏览59次
2020/03/26 05:32

  1.  Suppose that the observed process is yt =t + 𝚹1t-1 + 𝚹2t-2, where t is a white noise process with zero mean and unit variance. Calculate the autocorrelation coefficient 𝞀k = Corr(yt; yt-k) for k = 0; 1; 2; 3:::. Show your work and explain why this process is stationary.


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