Consider the AR(2) model (1 − 0.7B)(1 + 0.1B)ϵn = wn : i. Find and . ii. Simulate errors for this model with n = 300 and σ = 1.5. iii. Construct a filtering matrix A using and . iv. Filter the...

Consider the AR(2) model (1 − 0.7B)(1 + 0.1B)ϵn = wn :

i. Find

and

.

ii. Simulate errors for this model with n = 300 and σ = 1.5.

iii. Construct a filtering matrix A using

and

.

iv. Filter the errors and use pacf
and ar.yw
[or ar.mle] to demonstrate that the filtering has been successful.