How can I demonstrate that a MA(2) process is invertible?
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Filippo Patrignani
2021 年 5 月 14 日
コメント済み: Filippo Patrignani
2021 年 5 月 17 日
I have to solve this exercise: Consider the following MA(2) process yt = 1 − 0.5εt−1 + 0.3εt−2 + εt . Is the moving average process invertible? Explain. Hint: Use Matlab to compute the roots of the relevant polynomial. Can anyone help me?.
Thanks
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Pratyush Roy
2021 年 5 月 17 日
Hi,
Since the constant term does not matter in terms of whether the series converges or diverges, we can ignore it and hence the equation can be written as:
Here z(t) = y(t)-1
Now, the relevant polynomial becomes p(x) = 1-0.5x+0.3x^2;
To check whether the model is invertible or not, we compute the roots of p(x) = 0 using the roots method.
Hope this helps!
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