P3 Show that the AR(3) processY, = Bo + B,Y,-1 + B,Y,-2 + B;Y_3 + E,%3Dcan be written asAY, = Bo +pY1 + 8,AY-1 + 8,AY,-2 + E,%3Dwhere p= B + B, + B, –1. Find expressions for & and 8, in terms of the B's.2.

The task is to express the AR(3) process in a first-difference form and to find expressions for in…

2. Show that the AR(3) process can be written as Y₁ = B₁ +B₁Y₁₁+ B₂Y₁-2 + B₂Y₁-3 + ε₁ = Bo + pY₁+₁AY_₁ +8₂ AY ₁-2 + &₁ where p = B₁ + B₂ + B3-1. Find expressions for & and 2 in terms of the B's. AY,

2. Show that the AR(3) process can be written as Y₁ = B₁ +B₁Y₁₁+ B₂Y₁-2 + B₂Y₁-3 + ε₁ = Bo + pY₁+₁AY_₁ +8₂ AY ₁-2 + &₁ where p = B₁ + B₂ + B3-1. Find expressions for & and 2 in terms of the B's. AY,

Algebra & Trigonometry with Analytic Geometry

13th Edition

ISBN:9781133382119

Author:Swokowski

Publisher:Swokowski

Chapter1: Fundamental Concepts Of Algebra

Section1.2: Exponents And Radicals

Problem 87E

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Question

Show that the AR(3) process
Y, = Bo + B,Y,-1 + B,Y,-2 + B;Y_3 + E,
%3D
can be written as
AY, = Bo +pY1 + 8,AY-1 + 8,AY,-2 + E,
%3D
where p= B + B, + B, –1. Find expressions for & and 8, in terms of the B's.
2.

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