Econometric take home APPS_Part_33

Econometric take home APPS_Part_33 - Chapter 21 Time Series...

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Unformatted text preview: Chapter 21 Time Series Models There are no exercises or applications in Chapter 21. 131 Chapter 22 Nonstationary Data Exercise 1. The autocorrelations are simple to obtain just by multiplying out v t 2 , v t v t-1 and so on. The autocovariances are 1+ 1 2 + 2 2 , - 2 (1 - 2 ), - 2 , 0, 0, 0... which provides the autocorrelations by division by the first of these. The partial autocorrelations are messy, and can be obtained by the Yule Walker equations. Alternatively (and much more simply), we can make use of the observation in Section 21.2.3 that the partial autocorrelations for the MA(2) process mirror tha autocorrelations for an AR(2). Thus, the results in Section 21.2.3 for the AR(2) can be used directly. Applications 1. ADF Test +-----------------------------------------------------------------------+ | Ordinary least squares regression Weighting variable = none | | Dep. var. = R Mean= 8.212678571 , S.D.= .7762719558 | | Model size: Observations = 56, Parameters = 6, Deg.Fr.= 50 | | Residuals: Sum of squares= .9651001703 , Std.Dev.= .13893 | | Fit: R-squared= .970881, Adjusted R-squared = .96797 | | Model test: F[ 5, 50] = 333.41, Prob value = .00000 | | Diagnostic: Log-L = 34.2439, Restricted(b=0) Log-L = -64.7739 | | LogAmemiyaPrCrt.= -3.846, Akaike Info. Crt.= -1.009 | | Autocorrel: Durbin-Watson Statistic = 1.91589, Rho = .04205 | +-----------------------------------------------------------------------+ +---------+--------------+----------------+--------+---------+----------+ |Variable | Coefficient | Standard Error |t-ratio |P[|T|>t] | Mean of X| +---------+--------------+----------------+--------+---------+----------+ Constant .2565690959 .47172815 .544 .5889 T .4401352136E-03 .25092142E-02 .175 .8615 32.500000 R1 .9653227410 .48183346E-01 20.034 .0000 8.2305357 DR1 .5600009441 .14342088 3.905 .0003 -.12321429E-01 DR2 -.1739775168 .14781417 -1.177 .2448 -.20535714E-01 DR3 -.7792177815E-03 .11072916 -.007 .9944 -.11607143E-01 (Note: E+nn or E-nn means multiply by 10 to + or -nn power.) (Note: E+nn or E-nn means multiply by 10 to + or -nn power....
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This note was uploaded on 11/13/2011 for the course ECE 4105 taught by Professor Dr.fang during the Spring '10 term at University of Florida.

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Econometric take home APPS_Part_33 - Chapter 21 Time Series...

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