white noise

  1. L

    Time series analysis - different results for same cross correlation in SPSS?!

    Hey everyone, i have a question about the results I get when I do a cross correlation of two white noise time series with SPSS 21.0. Why do I get two different results depending on how much variables I insert in the window for the cross correlation? For example: If I insert the variables...
  2. A

    Time Series (White Noise)

    Suppose W_t and Y_t are two independent normal white noise series with Var(W_t)=2Var(Y_t)=4. Let X_t = W_t-0.5W_{t-1} and Z_t=Y_t+0.4Y_{t-1}-0.4Y_{t-2}. Put V_t=X_t-Z_t. Find the Cov(V_t,V_{t-1}), k=0,1,2,3,.. So I tried doing this...
  3. F

    What is the difference between a white noise process and a random process?

    Hi, What is the difference between a white noise process and a random process? Thank you
  4. D

    Unit Root

    What's this about? I'm new to econometrics and i'm trying to understand this conceptually. I know it has to do with nonstationarity (mean, variance and covariance changes over time) and the term "random walk" (the next step is the last one plus a random step) but what's the idea of a unit root...