Find the mean and variance if the time series data are modelled by the process Yt a Yt 1 t ...........

Economics-I Statistical and Econometric Methods

Find the mean and variance if the time series data are modelled by the process

Yt =a+ Y_t-1+ $\small \varepsilon$ _t

where $\small \varepsilon$ _t is a pure white noise. Find out also, the auto-correlation coefficient of s^th order. Interpret your results. How do you test stationarity in this case ? (15 marks) (120 words)

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By: Jyoti Das

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