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Consider a Series That Follows an MA(1) with Zero Mean

Question 24

Multiple Choice

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 autocorrelation function 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.

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