Testing stationarity, Electrical Engineering

1)  Use plot of the stock return and consider the Autocorrelation Function to determine the auto-regressive structure of the data and explain why you think the return is stationary.

2)  Use the information in (1) to estimate a univariate auto-regressive (AR) model of the return series (at the minimum estimate an AR(1) or AR(2) model).

3)  Save the residuals from the model in (1) and use their square to run an auxiliary regression to test for ARCH.

4)  Re-estimate the time series model either correcting for ARCH (using the GLS method in the lectures) or by augmenting the model by one or two dummy variables to correct for non-normality (any large shocks in the stock return).

 

 

Posted Date: 2/26/2013 4:20:21 AM | Location : United States







Related Discussions:- Testing stationarity, Assignment Help, Ask Question on Testing stationarity, Get Answer, Expert's Help, Testing stationarity Discussions

Write discussion on Testing stationarity
Your posts are moderated
Related Questions
Q. Explain output CE characteristics? 1. In the active region ic increases slowly as Vce increases. The slope of the curved is greater than the CB output characteristics. In co

Determine Impedance in each branch - delta connection: A delta connected balanced 3-phase load is supplied from a 3-phase 400 V supply. The line current is 30 Amp and the powe

Two identical three-phase, 33-kV, wye connected, synchronous generators operating in parallel share equally a total load of 12 MW at 0.8 lagging power factor. The synchronous react

A 3-phase, wye-connected, 11 kV, 137.5 MVA turbo-alternator of 0.8 power factor lagging has a synchronous reactance XS = 1.4 Ω. Assume the machine to be ideal for convenience of an

1. Introduction: Theory: Amplitude is defined as the magnitude of the change in the oscillating variable with each oscillation within an oscillating system. It is calculated as

The circuit below will be most efficiently analyzed by obtaining the Thevenin equivalent circuit for the circuit to the left of the points (a-b) on the schematic. The capacitor is

principle of resistive feedback circuit change when the square wave and triangular pulse frequencies, the amplitude of the triangle wave

Frequency variation in simple transmitters can be reduced by adding a _______ stage.

Q. Give a general account of common drain amplifier? The output is taken over the source terminal and when the dc supply is replaced by its short circuit equivalent, the drain

1. Find the slope and the y-intercept of the line whose equation is 5x + 6y = 7. 2. Find the equation of the line that is parallel to 2x + 5y = 7 and passes through the midpoint