2. Autocorrelation function. A process yt satisfies

Yt = Bo + B₁xt + Et,

where xt and et are two independent AR(1) processes

0.5xt-1+ut and

Xt =

Et = 0.1E-1 + Wt

with i.i.d. standard normal ut and wt. Find the autocorrelation function of yt.