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
discuss the term of price mechanism,give examples to elaborate the concept clearly

Explain about the term cost function. Cost Functions This function measures the minimum cost of producing a specified level of output for some fixed factor prices. Likewise

If the short run method to produce Q quantity is with full time workers L=0.025*Q, COST OF WORKER IN THE SHORT RUN IS w=20226.154, how do you derive the value of Q

When is the price of a product demand determined? The price of a product is demand defined while the product is in fixed supply. This means that the price of the product is defin

Individual Demand * The Individual Demand Curve  - Two significant Properties of Demand Curves - 1) The level of utility which can be attained changes while moving along

You are a member of a problem solving group that is concerned with incidents involving losses with their information system (IS). Let us assume that IS loss events can be grouped i

Structural Unemployment: This is unemployment resulting from changes in the pattern of demand for goods and services or changes in technology.These changes may in turn alter

a more simple explanation of the group equilibrium in the short and long run

Dividend The distribution of an organizations earnings to its owners-the stockholders. Cash dividends are most ordinary, although partition can be issued in other forms, such

• If Mary uses all her resources to produce hats, she can produce 48 hats an hour. • If she uses all her resources to produce apple pies, she can make 24 apple pies an hour. how