- #1

- 1,270

- 0

X

_{t}- X

_{t-1}+ 0.3X

_{t-2}= 6 + a

_{t}

where {a

_{t}} is white noise with mean 0 and variance 1.

Find the partial autocorrelation function (PACF).

I searched a number of time series textbooks, but all of them only described how to find the PACF for an ARMA process

*with mean 0*(i.e. without the constant term). So if the constant term "6" above wasn't there, then I know how to find the PACF, but how about the case WITH the constant term "6" as shown above?

I'm

*guessing*that (i) and (ii) below would have the same PACF, but I'm just not so sure. So do they have the same PACF? Can someone explain why?

(i) X

_{t}- X

_{t-1}+ 0.3X

_{t-2}= 6 + a

_{t}

(ii) X

_{t}- X

_{t-1}+ 0.3X

_{t-2}= a

_{t}

Any help would be much appreciated! :)