SOA Exam SRM Sample Question 64
Study guide: Exam SRM
You are given a stationary AR(1) model, y_t = \beta_0 + \beta_1 y_{t-1} + \varepsilon_t, \quad t = 2, \ldots, T.
Determine which or (as printed) the following is always true.
- A)
\beta_0 \neq 0 - B)
\beta_0 = 1 - C)
\beta_1 = 0 - D)
\beta_1 = 1 - E)
|\beta_1| < 1
Answer this question and see the worked solution