Introduction to Econometrics 3rd Edition by James Stock, James Stock

تمرين 19

Suppose that Y, follows a stationary AR(1) model with 0 = 0 and 1 = 0.7. If Y t = 5, what is your forecast of Y t+2 (that is, what is Y t +2| t ) What is Y t+h|t for h = 30 Does this forecast for h = 30 seem reasonable to you