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Math Help - Testing an AR process to see if it's stationary

  1. #1
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    Testing an AR process to see if it's stationary

     X_t + 1.2X_{t-1} + 0.4X_{t-2} = a_t

    and

    X_t - 0.3X_{t-1} + 0.6X_{t-2} = 5 + a_t

    So I am supposed to figure out whether or not these two AR processes are stationary or not. And if they are I need to plot the values of P sub k for k=1,2,3,4,5

    I had two similar problems that I did but I don't know how to plot them and the were only t-1 and t. Which is, correct me if I am wrong, done by making sure Rho < 1. The t-2 is what is throwing me off.

    Any tips?
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  2. #2
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    Joined
    Jan 2009
    Posts
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    Also I need some assistance with SAS coding.

    for some data sets given by my professor I need to find the following:

    trend differencing,
    seasonal differencing,
    AR model identification,
    model estimation,
    auto correlation check,
    normality check,
    coefficient check,
    and outlier check.

    Any help you guys can give would be great.
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