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Mar
4
comment Expressing the sum / average of two AR(1) processes as an ARMA
@DidierPiau, it's a question in a past exam paper for my course, but this topic doesn't seem to be covered in the course material. My instinct is that there must be some way of representing $rp_t$ as a linear combination of ($rp_{t-1}, rp_{t-2}...$) with everything else being simply a linear combination of error terms. The exact question is how to represent $rp_t$ as an ARMA.
Mar
4
awarded  Editor
Mar
4
revised Expressing the sum / average of two AR(1) processes as an ARMA
deleted 6 characters in body
Mar
4
comment Expressing the sum / average of two AR(1) processes as an ARMA
(...but I don't have enough reputation to add new tag categories, unfortunately. Thanks.)
Mar
4
comment Expressing the sum / average of two AR(1) processes as an ARMA
Apologies for the poor tagging. I really want to tag with the following: Autoregressive process, ARMA, moving average, econometrics.
Mar
4
asked Expressing the sum / average of two AR(1) processes as an ARMA