NO.PZ2024120401000036
问题如下：
An AR(2) process is presented:
It is determined that the equation has a unit root. What conditions must k and m satisfy for the first difference series to be stable?
选项：
A.m
< 1 and k = 1+m
m
< 1 and k = m
m
＜1 and k = 1- m
m
> 1 and k = 1+m
解释：
Given that the equation has a unit root means that the factorization of the characteristic equation must be of the form:
(z- 1)(z- c) = z2- (c + 1)z + c,
where 0 ＜ |c| ＜ 1.
The characteristic equation for the original relationship is:
z2 - kz - m
Therefore, it is required that |m| ＜1 and k = 1- m.
这里老师上课说的AR（2）difference就是AR（3）的level, 我也试着用这个推导了一下，但是没推出来，麻烦老师再详细说一下吧，谢谢！