(b) Suppose now that Yt is generated by the following process:Yt = 0.04 + ct + 0.5ct_1ct I0t_l – N(O,O”n2 2 2 O”t = 0.20 + 0.15ct_1 + 0.850″t_l(i) What are the properties of Ct ? Find E(Yt+’) and var(Yt+I)’
(b) Suppose now that Yt is generated by the following process: Yt = 0.04 + ct + 0.5ct_1 ct I0t_l – N(O,O”n 2 2 2 O”t = 0.20 + 0.15ct_1 + 0.850″t_l
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