Components of a time series, Microeconomics

1-      a-  What are the five components of a time series?

b- Briefly explain how you would estimate each component.

c- What does deterministc trend mean?  How do you detrend a variable that has determininstic trend?

d- What does stochastic trend mean?  How do you detrend a variable that has stochastic trend?

e- What would be the properties of the estimated coefficients if you use improper method of detrending?

2- You have estimated the forecasting model for price of a product as AR(1)

                        Pt  =  2.2 + .7Pt-1 ,            e ~ N(0, .49)               

                                 (.90)  (.08)

The last observation of the price series is $3.00.

a)      Do a three-period forecasting for t+1, t+2, and t+3.

b)      Write 95% confidence range for each forecast in (b).

c)      Do a long-run forecast for P.

d)     Write a 95% confidence interval for the long-run forecast of P.

3- Show that any AR(1) process can be written as MA(oo) and any MA(1) process can be written as an AR(oo) process.

4.  Write the order of the following ARIMA models.  For each model explain whether the specification is a correct specification or not.  For each model explain whether the model is stationary or not.

  1. Yt = 21.5 + .87Yt-1 + e t
  2. Yt = 1.75 + .87Yt-1 +.32Yt-2 +  e t 
  3. Yt = 1.75 + .87DYt-1 +.32DYt-2 +  e t - .87et-1
  4. Yt = 1.75 - .87Yt-1 +.32Yt-2 +  e t  
  5. Yt = 1.22 +  e t - .87et-1  

  6. Yt = .25 + 1.32Yt-1 +  e t + .67et-1 - 12et-1
  7. DYt = 1.05 + .80DYt-1 + e t - .87et-1  
  8. DYt = .35 + .87Yt-1 + e t 
  9. DYt = 1.05 + .97DYt-1 +.02DYt-2 +  e t - .67et-1
  10. Yt =  .75 + e t - .87et-1 + 1.6 et-1

5.  a. What is auto-correlation function (ACF), explain?  

b.  What is partial auto-correlation function (PACF), explain?

c.  Write the best model that will explain each of the following ACF - PACF schedules.

Posted Date: 2/13/2013 12:20:20 AM | Location : United States

Related Discussions:- Components of a time series, Assignment Help, Ask Question on Components of a time series, Get Answer, Expert's Help, Components of a time series Discussions

Write discussion on Components of a time series
Your posts are moderated
Related Questions
application of indifference curve analysis to the problem of exchange

Define Nash equilibrium and explain with the help of the game ''prisoner''s dilemma''.

Explain about the deadweight loss and elasticities. Deadweight Loss and Elasticities: The common rule for economic policy is the other things equal; you need to select the p

How does the approach of someone who has adopted the precautionary principle differ from someone with a blind faith in substitutability, when it comes to a non-renewable resource l

What are subsidies?  Almost in all market systems, government plays its role to stabilize the price of certain commodities, which are of public interest like medicines and edib

how to solve min (x+y/2, 2y+3x, 3x)

What is the difference between indifference curve and isoquants?  An indifference curve shows dissimilar combinations which a consumer can buy with a given level of income. Ind

If one person can produce 1 fish and 10 oranges per hour and works 5 hours a day.another person can produce 2 fish and 20 oranges per 2 hors and works 8 hurs a day then who has the