Spring 2010
Problem Set #5
Due noon, Friday, April 16
Evaluate whether each of these stochastic processes is stationary. If it is an integrated process, determine the order of integration and evaluate the stationarity of the differenced process. You should assume that ut is white noise.
- Yt = 0.75Yt - 1 - 0.375Yt - 2 + ut
- Yt = 1.75Yt - 1 - 1.125Yt - 2 + 0.375Yt - 3 + ut
- Yt = 2Yt - 1 - Yt - 2 + ut
- Yt = Yt - 1 - Yt - 2 + ut
Work the following exercises from Stock and Watson's Chapters 15 and 16:
- 15.1
- 15.5
- 15.6
- 15.10
- 16.6
- 16.8