6. (a) Consider a model
$y_t = \theta y_{t-1} + u_t$ ; $t = 1, 2, \dots, T$
where $y_0 = 0$. $E(u_t) = 0$, $E(u_t^2) = \sigma^2$ and $E(u_s u_t) = 0$ when $s \neq t$, for all $s, t = 1, 2, \dots, T$.
Derive the mean and variance of $y_t$, when $|\theta| = 1$ and comment on the result.
