Answered: Univariate time series models are… | bartleby

Algebra & Trigonometry with Analytic Geometry

Algebra & Trigonometry with Analytic Geometry

13th Edition

ISBN:9781133382119

Author:Swokowski

Publisher:Swokowski

Chapter10: Sequences, Series, And Probability

Section10.2: Arithmetic Sequences

Problem 68E

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Question

M8

Univariate time series models are especially useful
when it comes to forecasting. Consider the
following MA(1) process: yt = 0.5ut-1 + ut What is
your forecast for yt+1 if you observe ut-1 = 0.2 and
ut = -0.8? What is your forecast for yt+2? What is
the forecast for 10-step ahead? How does the
forecast for the distant future compare to the
unconditional expectation of this MA(1) process?
How is the forecasting exercise related to the
expectation of the stochastic process {vt}?
%3D
%3|

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