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Consider the Following Model Estimated for a Time Series Yt ε\varepsilon

Question 13

Multiple Choice

Consider the following model estimated for a time series yt = 0.3 + 0.5 yt-1 - 0.4 ε\varepsilon t-1 + ε\varepsilon t
Where ε\varepsilon t is a zero mean error process.
What is the (unconditional) mean of the series, yt ?


A) 0.6
B) 0.3
C) 0.0
D) 0.4

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