Generate a quarterly time series from an AR(1) model with seasonal means, that is, (5.1) with p = 1, q = 0. Set μ 1 = 1, μ 2 = −1, μ 3 = −3, μ 4 = −1, φ 1 = 0 . 7, and σ 2 = 1. Set the starting value y 0 equal to −1. Estimate the model y t = α 1 D 1 , t + α 2 D 2 , t + α 3 D 3 , t + α 4 D 4 , t + φ 1 y t −1 + ε t . How do you find estimates of the seasonal means μ s , s = 1 , 2 , 3 , 4?
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