Consider a series that follows an MA(1) with zero mean and a moving average coefficient of 0.4. What
Consider a series that follows an MA(1) with zero mean and a moving average coefficient of 0.4. What is the value of the autocovariance at lag 1?
a) | 0.4 | |
b) | 1 | |
c) | 0.34 | |
d) | It is not possible to determine the value of the autocovariances without knowing the disturbance variance. |
