Suppose that Yt follows the stationary AR(1) model Yt = 2.5
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Suppose that Yt follows the stationary AR(1) model Yt = 2.5 + 0.7Yt - 1 + ut , where ut is i.i.d. with E1ut2 = 0 and var
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Suppose that Yt follows the stationary AR(1) model Yt = 2.5 + 0.7Yt - 1 + ut , where ut is i.i.d. with E1ut2 = 0 and var1ut2 = 9. a. Compute the mean and variance of Yt. (Hint: See Exercise 14.1.) b. Compute the first two autocovariances of Yt . (Hint: Read Appendix 14.2.) c. Compute the first two autocorrelations of Yt. d. Suppose that YT = 102.3. Compute YT + 10T = E(YT + 1 0 YT, Yt - 1, c).
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