Show that the AR(3) model cxt = (c ? 1)xt?1 + xt?3 + ut,
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Show that the AR(3) model cxt = (c ? 1)xt?1 + xt?3 + ut, in which ut are i.i.d. zero-mean random variables, is nonstatio
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Show that the AR(3) model cxt = (c ? 1)xt?1 + xt?3 + ut, in which ut are i.i.d. zero-mean random variables, is nonstationary for all values of c = 0. For what of c is this autoregressive model unit-root nonstationary?
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