Time Series E(y(t)) and Var(y(t))

Discussion in 'CT6' started by tharandeep, Apr 25, 2009.

  1. tharandeep

    tharandeep Member

    Hi, could anyone help me with the following question:

    Calculate E(y(t)) and Var(y(t)) for the model, y(t) = e(t) + B(2)e(t-2)

    please note that B(2) in the model is just Beta_2.

    The answer for the question is
    E(y(t)) = 0 and Var(y(t)) = (1 + B(2)^2)sigma^2
    but i don't know how to get to this answer.

    Please could someone offer me assistance.
    Thank you in advance.
     
  2. tharandeep

    tharandeep Member

    I have it now! Sorry for any inconvenience!
     

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