Considere o processo Auto-Regressivo de 1ª ordem -AR(1) Consider the 1st order Auto-Regressive process -AR(1) u_t=pu_(t-1)+e_t Onde p=0.5 é uma constante e é uma variável aleatória de espetro branco e de variância igual a um. Frequentemente designa-se por inovação do período. Where p=0.5 is a constant and e_t is a random variable with a white spectrum and variance equal to one. It is often referred to as period t innovation. E(ε_t)=0,vt Var(e_t)=1 Cov(e_t,e_(t-1))=0,vt, s, #0 Calulate Cov(u_t,u_(t-3)) Resposta:

Considere o processo Auto-Regressivo de 1ª ordem -AR(1) Consider the 1st order Auto-Regressive process -AR(1) u_t=pu_(t-1)+e_t Onde p=0.5 é uma constante e é uma variável aleatória de espetro branco e de variância igual a um. Frequentemente designa-se por inovação do período. Where p=0.5 is a constant and e_t is a random variable with a white spectrum and variance equal to one. It is often referred to as period t innovation. E(ε_t)=0,vt Var(e_t)=1 Cov(e_t,e_(t-1))=0,vt, s, #0 Calulate Cov(u_t,u_(t-3)) Resposta:

Economics (MindTap Course List)

13th Edition

ISBN:9781337617383

Author:Roger A. Arnold

Publisher:Roger A. Arnold

Chapter30: Market Failure: Externalities, Public Goods, And Asymmetric Information

Section: Chapter Questions

Problem 1QP

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