Final exam (2008Winter)

Final exam (2008Winter) - University of Toronto STA457H1...

Info iconThis preview shows pages 1–3. Sign up to view the full content.

View Full Document Right Arrow Icon
University of Toronto STA457H1 S/STA2202H S Time Series Analysis Final Exam (April 29, 2008) Exam time: 0700-1000 pm Name Student number Course number 1
Background image of page 1

Info iconThis preview has intentionally blurred sections. Sign up to view the full version.

View Full DocumentRight Arrow Icon
Question 1) Define and Explain a. (10%) I(0) , I(1) and I(d) processes (processes of integrated of order zero, one and d ) b. (10%) Spurious regression and I(1) processes c. (10%) Cointegration d. (10%) Generalized autoregressive conditional heteroscedasticity (GARCH) model Question 2) Vector autoregressive (VAR) models and Granger causality test a. (5%) Consider a bivariate VAR(1) model + = - - t t t t t t a a X X X X , 2 , 1 1 , 2 1 , 1 , 2 , 1 5 . 0 4 . 0 1 . 0 5 . 0 , where ) , ( ~ ) , ( 2 , 2 , 1 Σ 0 N a a T t t , N 2 is a bivariate normal distribution with mean vector T ) 0 , 0 ( and covariance matrix = Σ 2 5 . 0 5 . 0 1 . Is this VAR(1) model stationary? b.
Background image of page 2
Image of page 3
This is the end of the preview. Sign up to access the rest of the document.

This note was uploaded on 09/27/2009 for the course STA STA457 taught by Professor Lin during the Winter '08 term at University of Toronto.

Page1 / 3

Final exam (2008Winter) - University of Toronto STA457H1...

This preview shows document pages 1 - 3. Sign up to view the full document.

View Full Document Right Arrow Icon
Ask a homework question - tutors are online