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
Reorganisation of Export Councils: India has a large number of exporpromotion councils, commodity boards and other similar agencies, butheir impact on India's foreign trade h

Malthus and the Food Crisis - Malthus predicted starvation as diminishing returns limited agricultural output and the population continued to grow. - Why did Malthus' predic

What is endothermic reaction? 3. Draw a generalised energy graph for an endothermic reaction.

Consider the following linear program in primal form and develop the dual formulation in a detailed manner. Use matrix notation in developing the dual. Clearly express all the dual

Consumer Behavior The description of how consumers allot their resources (income) to the purchase of various goods and services to get maximum in their well being. There a

1. Assume that Malaysia can produce cencaluk at 25 bottles per worker and belacan at RM5 per worker. Assume that Indonesia can produce 10 bottles of cencaluk per worker and 20 pack

#questThe demand for and supply of labour in a certain industry are given by the equations Nd = 400 - 2w Ns = 240 + 2w Where Nd ( is the number of workers employers want to hire

P=140-4Q mc1=20+30q for plant 1 mc2=80+10q for plant 2 how many units should be produced by plant 1 and plant 2 to maximise profit for this monopoly?

John has a utility function given by U(M) = M0.5, where M represents an amount of cash prize in a game. If John wins, with the probability of 0.2, he will get $900; otherwise, he g

what is dynamic and static multipler