Economics · Time Series Analysis
In a Random Walk model without drift, Yt = Yt-1 + εt, which of the following statements is TRUE?
Verified Solution4 OptionsUpdated: October 2026👁️1 View
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- 1The series is I(0) and stationary
- 2The variance is constant but the mean changes over time
- 3Both mean and variance are constant over time
- 4The mean is constant but the variance increases linearly over time✓
Correct answer
The mean is constant but the variance increases linearly over time
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