What is the conditional mean - initial values and statistics, Microeconomics

What is the conditional mean:

For every AR(1) model below:

a. Do a three-period ahead forecasting using the given initial values and statistics.  Write a 95% confidence interval for each forecast.

b. Do a long-run (unconditional) forecasting and write a 95% confidence interval.

a)  yt = 1.6 + .75yt-1 + et,                     yt = 2,                          s2 = 1.21        

b)  y t = 2.5 + .3y t-1 + et,                      yt = 10,                                    s2 = 6.25        

c)  yt = 1.2 - .2yt-1 + et,                        yt = 1.5,                       s2 = .49          

d)  Dyt = 2.5 - .8Dyt-1 + et,                  yt = 6,  yt-1 = 5,            s2 = 3.69        

For every AR(2) model below:

a. Do a three-period ahead forecasting using the given initial values and statistics.  Write a 95% confidence interval for each forecast.

b. Do a long-run (unconditional) forecasting and write a 95% confidence interval.

a)  yt =  6 + .7yt-1 + .12yt-2+ et,                        yo = 5, y1 = 6,              s2 = 1.21        

b)  y t = 2.5 + .3y t-1 - .28yt-2 + et,                     yo = 1, y1 = 2,              s2 = 6.25        

c)  yt = 1.2 - .2yt-1 - .35yt-2 + et,                        yo = 1.5, y1 = 2,           s2 = .49          

d)  yt = 2.5 - .07yt-1 + .06yt-2 + et,                    yo = 6,    y1 = 5,            s2 = 3.69        

 

 

For the ARCH model, Yt = 8.5 + .6Yt-1 ,     Yt = 10,     et = .5

                                               (3.2)  (2.8)

                                                e2t = 1.2 + .2e2t-1

 

  1. What is the conditional mean of Y at times t+1, t+2, t+3?
  2. What is the conditional variance of Y at times t+1, t+2, t+3?
  3. What is the unconditional (long-run) mean of Y?
  4. What is the unconditional (long-run) variance of Y?
  5. Write 95% confidence interval for the long-run forecast of Y.
  6. Write 95% confidence interval for forecasts of Y at time t+1, t+2, and t+3.

 

For the following ARCH model, Yt = 4.5  + 0.4Yt-1, Yt = 5,     et = .3

                                                                   (3.2)  (2.8)

                                                                     e2t = 2.6 + .8e2t-1

  1. What is the conditional mean of Y at times t+1, t+2, t+3?
  2. What is the conditional variance of Y at times t+1, t+2, t+3?
  3. What is the unconditional (long-run) mean of Y?
  4. What is the unconditional (long-run) variance of Y?
  5. Write 95% confidence interval for the long-run forecast of Y.
  6. Write 95% confidence interval for forecasts of Y at time t+1, t+2, and t+3.
  1.  Use The ARIMA file in the course site in BB. For each variables in the ARIMA file: 

a) Test for the stationarity of the variable.

b)  Do the correlogram of the variable and decide the order of the ARIMA(p, d, q).

c)  Run the best ARIMA model.

d) Do three period ex-ante dynamic forecasting and write 95% confidence intervals.

e) Do three period ex-post static forecasting and write 95% confidence intervals.

f) Do long-run forecasting of each variable and write 95% confidence interval.

Posted Date: 2/13/2013 12:24:19 AM | Location : United States







Related Discussions:- What is the conditional mean - initial values and statistics, Assignment Help, Ask Question on What is the conditional mean - initial values and statistics, Get Answer, Expert's Help, What is the conditional mean - initial values and statistics Discussions

Write discussion on What is the conditional mean - initial values and statistics
Your posts are moderated
Related Questions

net preparation ranjna baghel

The Bloomington Electric Company operates in a stable industry and therefore has predictable dividend growth of 8% per year. The most recent annual dividend was paid yesterday in t

1. Econ 415 Project Select one time series of real data. The series can be selected from the published data ( http://research.stlouisfed.org/fred2/). The data series must co

I want to address Inflation in Pakistan but it itself is a wide topic plz suggest me how to address Inflation to right a research article?????

Defining black economy, If you pay your cleaner or builder in cash or for some reason neglect to tell the taxman which you were paid for a service rendered, you participate in the

In the diagrams related to bandwagon effect, why do we say when the price is 30$ the demand is 40?

Average product of a factor is the total output produced per unit of the factor employed thus, Average product = total product / number of units of factor employed If Q stand

Question: Product differentiation and entry/exit Two differentiated goods, apples and oranges, are located at the two extremes of a linear product space (a segment of length 1)