Transforming (p) to . If a p − o autoregressive process phi()y = is stationary, with moving average representation y = () , show that 0 = ∑phi− = phi() p =1 , = p, p + 1, p + 2, … …. .
i.e., show that the moving average coefficients satisfy the autoregressive difference equation. [15 marks]
a) What is the difference in the effects of shock to a random walk to the effect of a shock to a stationary autoregressive process? [5 marks]
b) Is the random walk stationary? Use the correct functional form of a random walk and some mathematical algebraic expression to answer the question [ 10 marks]
c) Provide a definition of the partial autocorrelation function and describe what it measures [5 marks]
d) How does the Autoregressive Distributed Lag (ARDL) Model differ from the Autoregressive model? Explain
