Consider the sample y1 y200 from the ARMA(1,1) model yt − _yt−1 = _t − _t, where _t is white noise (0, _2 _ ) and assume that the MLE of (_, _) is (0.4, 0.7). (a) Are these coefficients significative...

Consider the sample
y1
y200 from the ARMA(1,1) model

y
t

−


_y
t
−1 =
_
t

−


_
t
,
where
_
t
is white noise (0, _2

_
) and assume that the MLE of (_, _) is (0.4,
0.7).

(a) Are these coefficients significative at the 5% level?

(b) Build confidence intervals for
_
and
_
at the 95% level.

(c) Find the spectral density of this process.