6. Consider a VAR(1) process {(X1,t, X2,t)} defined by
X1,t = 0.9X1,t−1 + phi X2,t−1 + W1,t,
X2,t = phi X1,t−1 + 0.9X2,t−1 + W2,t,
where phi is a real constant and {(W1,t, W2,t)} is a bivariate white noise with mean vector 0 and covariance matrix Sigma . For what values of phi is {(X1,t, X2,t)} a stationary process? Justify your answer.
[Total 10 marks]