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Competitive Stats
Q174Section III (Statistics)174 of 190

Checking causality and invertibility from the AR and MA characteristic roots

Given two time series, Xt=0.3Xt−1−0.2Xt−2+ZtX_t=0.3X_{t-1}-0.2X_{t-2}+Z_t and Yt−0.4Yt−1=Zt+1.2Zt−1Y_t-0.4Y_{t-1}=Z_t+1.2Z_{t-1} where {Zt}\{Z_t\} iid WN(0,σ2)(0,\sigma^2), which of the following statements is true?

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