Components of a time series, Microeconomics

1-      a-  What are the five components of a time series?

b- Briefly explain how you would estimate each component.

c- What does deterministc trend mean?  How do you detrend a variable that has determininstic trend?

d- What does stochastic trend mean?  How do you detrend a variable that has stochastic trend?

e- What would be the properties of the estimated coefficients if you use improper method of detrending?

2- You have estimated the forecasting model for price of a product as AR(1)

                        Pt  =  2.2 + .7Pt-1 ,            e ~ N(0, .49)               

                                 (.90)  (.08)

The last observation of the price series is $3.00.

a)      Do a three-period forecasting for t+1, t+2, and t+3.

b)      Write 95% confidence range for each forecast in (b).

c)      Do a long-run forecast for P.

d)     Write a 95% confidence interval for the long-run forecast of P.

3- Show that any AR(1) process can be written as MA(oo) and any MA(1) process can be written as an AR(oo) process.

4.  Write the order of the following ARIMA models.  For each model explain whether the specification is a correct specification or not.  For each model explain whether the model is stationary or not.

  1. Yt = 21.5 + .87Yt-1 + e t
  2. Yt = 1.75 + .87Yt-1 +.32Yt-2 +  e t 
  3. Yt = 1.75 + .87DYt-1 +.32DYt-2 +  e t - .87et-1
  4. Yt = 1.75 - .87Yt-1 +.32Yt-2 +  e t  
  5. Yt = 1.22 +  e t - .87et-1  

  6. Yt = .25 + 1.32Yt-1 +  e t + .67et-1 - 12et-1
  7. DYt = 1.05 + .80DYt-1 + e t - .87et-1  
  8. DYt = .35 + .87Yt-1 + e t 
  9. DYt = 1.05 + .97DYt-1 +.02DYt-2 +  e t - .67et-1
  10. Yt =  .75 + e t - .87et-1 + 1.6 et-1

5.  a. What is auto-correlation function (ACF), explain?  

b.  What is partial auto-correlation function (PACF), explain?

c.  Write the best model that will explain each of the following ACF - PACF schedules.

Posted Date: 2/13/2013 12:20:20 AM | Location : United States

Related Discussions:- Components of a time series, Assignment Help, Ask Question on Components of a time series, Get Answer, Expert's Help, Components of a time series Discussions

Write discussion on Components of a time series
Your posts are moderated
Related Questions
a. Determine Australia’s market equilibrium for TV sets. i. (1) What are the equilibrium price and quantity?

I am having a hard time figuring out how to find marginal product.

causes of market failure and its solutions?

Distributive Bargaining An approach to negotiation that finds to divide up a fixed amount of resources.

Ask factor affects elasticity of demandquestion #Minimum 100 words accepted#

#. The following information applies to the market for a particular items in the absence of a unit excise tax: Price($ per unit) Quantity Supplied Quantity Demanded 4 50

when total production fall what,s the status of average product and marginal product

Consumer Choice   * Decision making & Public Policy - Selecting from a non matching and matching grant to fund police expenditures

The prevention of major swings in economic activity can be handled most easily by the

Assume that the market for lamb is perfectly competitive. Using an appropriate model (or models) illustrate and explain a. How a competitive market arrives at equilibrium