Consider a time series {Y} with a deterministic linear trend, i.e.
Y₁ = ao+a₁t+ €₁ Here {} is a zero-mean stationary process with an autocovariance function 7x(h). Consider the difference operator such that Y₁ = Yt - Yt-1. You will demonstrate in this exercise that it is possible to transform a non-stationary process into a stationary process.
(a) Illustrate {Y} is non-stationary. (b) Demonstrate {W} is stationary, if W₁ = √Y₁ = Yt - Yt-1.