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. Resultant air-gap flux of induction machine? The resultant air-gap flux is produced by the combined mmfs of the stator and rotor currents. For the sake of conceptual and ana

Q. The machine of Problem can be used as a motor. Let the terminals of the coil be connected to a voltage source of 1 kV rms. If the motor runs at 1800 r/min and draws a current of

what is the literature review about wye delta transformation?? for 3 paragraphs atleast*

emitter followers regulator

Explain n-type and p-type semiconductors. n - Type semiconductor: If small amount of pentavalent impurity (group V elements) is added to a pure semiconductor giving a large

Control Signals There are two  control  signals and one  special  (ALE) in this  category. All these  signals  are output  signals. RD  (Read  signal ) it is  an active low

Objective: To Understand the Usage of the Output ports of PIC18F452 and make changes in the previous code accordingly. Procedure: 1. Open the p1.asm program from t

8 bit  data to Register   This form  of the  instruction is used to copy 8 bit  data directly  to the register  location specified in  the instruction. The  instruction format i

The far-field pattern of an antenna can be modeled as the two dimensional Fourier Transform of the aperture. 1. Determine the 2D Fourier Transform for the function

Explain Series capacitors These are connected in series with the line conductors and are used to reduce the inductive reactance of long transmission lines and hence the voltage