1.we just need to show that (1-B)x is stationary when x is stationary. But since x is stationary ,so is its difference (you can use the definition of strict stationarity). Then (1-B)(1-B)x is stationary because (1-b)x is stationary.
2. As the hint, we first show that (1-B)Ktq is of order q-k. Then if k>=q, the terms with t vanish, while we have prove 1 ,then the stationarity is proved. but when k<q, because the time (trend) is of order k-q, so it's not stationary but trend stationary.
cbqywl 发表于 2009-9-23 23:51
1.we just need to show that (1-B)x is stationary when x is stationary. But since x is stationary ,so is its difference (you can use the definition of strict stationarity). Then (1-B)(1-B)x is stationary because (1-b)x is stationary.
2. As the hint, we first show that (1-B)Ktq is of order q-k. Then if k>=q, the terms with t vanish, while we have prove 1 ,then the stationarity is proved. but when k
I can prove part 1 but I still don't know how to do part 2 ...... do you mind to show me the working if u r keeen....
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