6038统计中等数值题short
Sign and Size of Lag-1 Autocorrelation
题目
A stationary spread obeys X_(t+1) = -0.4 X_t + epsilon_(t+1) with iid zero-mean shocks. What is the lag-1 autocorrelation of X_t, and what does its sign say about period-to-period dynamics?
解题计时
0:00
提交作答时记录,用于后续平均用时统计。
你的答案
Lag-1 Autocorrelation