Lenny D. answered • 05/30/20
Tutor
4.8
(563)
Former professor of economics at Tufts University
It sure looks like ARMA(1,1) to me Yt-aYt-1 = et+ret-1 -ut
AR(1) MA(1)
What type of AR/MA model is this equation?
The model is yt = αyt-1 + et, where et =ρet-1 + ut and ut is white noise. What type of AR/MA process is this? I think its AR(2) but I am not sure...
Follow
•
2
Add comment
More
Report
2 Answers By Expert Tutors
Tom K. answered • 05/28/20
Tutor
4.9
(95)
Knowledgeable and Friendly Math and Statistics Tutor
It would be ARMA(1, 1). See http://www.maths.qmul.ac.uk/~bb/TimeSeries/TS_Chapter4_6.pdf
Still looking for help? Get the right answer, fast.
Ask a question for free
Get a free answer to a quick problem.
Most questions answered within 4 hours.
OR
Find an Online Tutor Now
Choose an expert and meet online. No packages or subscriptions, pay only for the time you need.
