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Competitive Stats
Q131Section III (Statistics)131 of 145

AR roots outside the unit circle but the MA root inside: causal, not invertible

Consider the time series model Xt=0.2Xt−2−0.6Xt−1+Zt+1.2Zt−1X_t=0.2X_{t-2}-0.6X_{t-1}+Z_t+1.2Z_{t-1}, where Zt∼Z_t\sim iid Normal (0,σ2)(0,\sigma^2). Which of the following statements is true?

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