Economics · Econometrics - Time Series Processes

Based on the condition that {εt} is a purely random process with mean zero and variance σ2, consider the statements below: A. A process {xt} defined by xt = α_1xt−1 + α_2xt−2 + ... + α_rxt−r + εt is called an autoregressive process of order r [AR(r)]. B. A process {xt} defined by xt = β_0εt + β_1εt−1 + ... + β_mεt−m is called a moving average process of order m [MA(m)]. C. A process {xt} defined by xt = β_0εt + β_1εt−1 + ... + β_mεt−m is called an autoregressive process of order r. D. A process {xt} defined by xt = α_1xt−1 + α_2xt−2 + ... + α_rxt−r + εt is called a moving average process of order m. Choose the correct answer from the options given below: