hw6_solution

hw6_solution - PSTAT 174/274 HW#8 Solution 1(a Define Yt...

Info iconThis preview shows page 1. Sign up to view the full content.

View Full Document Right Arrow Icon
This is the end of the preview. Sign up to access the rest of the document.

Unformatted text preview: PSTAT 174/274 - HW #8 Solution 1. (a) Define Yt = (1 - B)Xt = t - t-1 + nt - nt-1 = Wt + nt - nt-1 2 2 w + 2n , h = 0 2 -n , h=1 Y (h) = 0, h2 1, h=0 2 n 1 Y (h) = h=1 - 2 2 = - 2+c , w +2n 0, h2 (b) Should be trivial. (c) If you set /(1 + 2 ) = -1/(2 + c) and solve for where || < 1, = 2. (a) At t = 2, we can find the linear system as X1 X2 = 1 -1 1 0 2 2 + n1 + w2 n2 1 2 (c2 + 4c)1/2 - c - 1. ^ With OLS estimation, you get 2 = [^2 , 2 ] = [x2 , x2 - x1 ] and ^ P2 = (b) Observation Eq: Xt Transition Eq: t ^ 3|2 P3|2 K3 e3 ^ 3 3. (a) Xt Xt-1 = 1 1 2 0 Xt-1 Xt-2 + 1 Wt . 0 = = 1 1 0 0 t t + n t = ht t + n t 2 n 2 n 2 2n 2 n 2 + w 1 = Gt t-1 1 t-1 2x2 - x1 x2 - x1 5 3 ^ = G3 2 = = G3 P2 G3 P3|2 h3 1 = = 2 h3 P3|2 h3 + n 6 ^ = x3 - h 3|2 3 ^ = 3|2 + K3 e3 = 5 1 1 6 x3 + 3 x2 - 6 x1 1 2 (x3 - x1 ) ...
View Full Document

This note was uploaded on 05/01/2009 for the course PSTAT 120A taught by Professor Mackgalloway during the Spring '08 term at UCSB.

Ask a homework question - tutors are online