Homework#5 (1)

(c) AR(2) (d) ARIMA(2,0,1) AR(2) Problem 2. Consider the following models (1) y t = 0.7 y t − 1 + 0.6 ε t − 1 + ε t (2) ( 1 − B ) y t = 0.7 y t − 1 − 0.7 y t − 2 + 0.6 ε t − 1 + ε t (3) ( 1 − B 4 ) y t = 0.7 y t − 1 − 0.7 y t − 5 + 0.6 ε t − 1 + ε t (a) For each model, re-write the model equation into the form as shown slide #76 using backward shift operator B. (b) If we use notation ARIMA(p,d,q)(P,D,Q) m to represent an ARIMA model, what are the values of p, d, q, P, D, Q, m for the three models?