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MMLU / Consider a series that follows an MA(1) with zero mean and a moving average…

Problem

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question

Consider a series that follows an MA(1) with zero mean and a moving average coefficient of 0.4. What is the value of the autocovariance at lag 1?

choices

  1. 0.4
  2. 1
  3. 0.34
  4. It is not possible to determine the value of the autocovariances without knowing the disturbance variance.

subject

econometrics

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