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
How are the limitations of the economics theory affected? Limitation of Economic Theory: While examining the generality of an economic theory, one must realize any assump

a. Generally, there will be a difference between the CV and the EV. Why? b. The change in consumer surplus (?CS) is not "theoretically" justifiable like the CV and EV but it

what is indifference curve''s theory and application

relationship between total utilities and marginal utilities


what is the basis of marginal utility

how do i make one on excel

Unions in a Competitive Market: Again, there a group of economists who will rely on the use of the competitive model to demonstrate the evils of unionization. The most regular anal


what is multi-plant monopoly?