The moving average model of order q has the form 11eb817c_77f9_59e7_84e6_73b2df685744_SM2685_11 , where e t is a serially uncorrelated random variable with mean 0 and variance 11eb817c_77f9_59e8_84e6_1bc1c4aef8db_SM2685_11 . a. Show that E ( Y t ) = ß 0. b. Show that the variance of Y t is var 11eb817c_77f9_80f9_84e6_dfccd3adfe55_SM2685_11 . c. Show that for j q. d. Suppose that q = 1. Derive the autocovariances for Y.

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

Edition 3ISBN: 978-9352863501

Edition 3ISBN: 978-9352863501

Exercise 13

The moving average model of order q has the form

,
where e t is a serially uncorrelated random variable with mean 0 and variance

.
a. Show that E ( Y t ) = ß 0.
b. Show that the variance of Y t is var

.
c. Show that for j q.
d. Suppose that q = 1. Derive the autocovariances for Y.

Explanation

Verified

a) The moving average model has the equa...