Discuss what happens to the forecast and the error variance as Consider now the particular non-stationary case = 1. Dierencing the Yt values gives a...

Discuss what happens to the forecast and the error variance as Consider now the particular non-stationary case = 1. Dierencing the Yt values gives a stationary process. What are the mean, variance and autocorrelation function of the dierenced values? If dierencing is repeated a second time, what is the eect on the mean and variance of the resulting process?