Consider the process 3y,1- 2Y+2 U;, where is white noise. Consider the following statements about the stationarity of the relevant characteristic polynomial 1- 32 + 2z" with roots equal to 1.0 and 0.5, the relevant characteristic polynomial 1+32- 2z? with roots equal to 0.5, and the relevant characteristic polynomial 3z + 2 with roots equal to 1.0. The stationary process Y is a non-stationary process.
Which of the above statements are true concerning the stationarity of Y, (iv) only and (v) only.
Question 13
The data generating model for first differences of y; is given as follows:
4y,-
where
is a white noise process and € is a constant.
Which statement is correct?
I(0) process Y is an I(1) process, an I(2) process, Ay; is an I(2) process, Ay; is an I(0) process.