(Answered) (b) Consider a modelyt=φ1yt-1+utWhere E(ut)=0,var(ut)=σv2 and E(utus)=0 when t≠s for all s, t=1,2,…

(b) Consider a model
y
t
= φ
1
y
t-1
+ u
t
where E(u
t
) = 0, var(u
t
) = σ
v
2
and E(u
t
u
s
) = 0 when t ≠ s for all s, t = 1, 2, … , T. Derive the mean and variance of y
t
when |φ
1
| = 1 and comment on the result.