Consider the following model estimated for a time series y_t = 0.3 + 0.5 y_t_-1 - 0.4 $\varepsilon$ _t-₁ + $\varepsilon$ _t
Where $\varepsilon$ _t is a zero mean error process.
What is the (unconditional) mean of the series, y_t ?

Question

Consider the following model estimated for a time series y_t = 0.3 + 0.5 y_t_-1 - 0.4

\varepsilon

_t-₁ +

\varepsilon

_t
Where

\varepsilon

_t is a zero mean error process.
What is the (unconditional) mean of the series, y_t ?

Quizplus · Accepted Answer

The Answer of Consider the following model estimated for a time series y_t = 0.3 + 0.5 y_t_-1 - 0.4 $\varepsilon$_t-₁ + $\varepsilon$_t Where $\varepsilon$_t is a zero mean error process. What is the (unconditional) mean of the series, y_t ? A) 0.6 B) 0.3 C) 0.0 D) 0.4

Consider the Following Model Estimated for a Time Series Yt ε\varepsilonε

Consider the Following Model Estimated for a Time Series Y_t $\varepsilon$