Assignment_2_S07

# Assignment_2_S07 - Homework 2 STAT 443 Spring 2007 1(20 points Let cfw_Zt be a sequence of independent normal random variables with zero

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Homework 2 STAT 443 Spring 2007 1. (20 points) Let {Zt} be a sequence of independent normal random variables with zero mean (E(Zt)=0) and common finite variance (Var(Zt)=s^2). For each process below define the mean and autocovariance function. Which, if any, of the following processes are (weakly) stationary? Justify your answer. a) Xt =a + bZt-1 + cZt-2 for some constants a, b and c; b) Xt= 2Zt sin(t)cos(t). 2. (30 points) DESCRIPTIVE ABSTRACT: The dataset consumpt.txt contains yearly data on 3 month Treasury bill rate (TBILL) in US dollars and per capita real consumption (CONS) in USA from 1964 to 1995. VARIABLE DESCRIPTIONS: YEAR -- from 1964 to 1995 (the training set is from 1964 to 1992) CONS –- per capita real consumption TBILL –- 3 month Treasure bill rate RSERV -- services, in billion dollars of 1992. Values are aligned and delimited by blanks. YOUR TASK: To forecast per capita consumption for 1993, 1994 and 1995 using the 3 month Treasury Bills rates. The training window is from 1964-1992. You

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## This note was uploaded on 01/12/2012 for the course STAT 443 taught by Professor Yuliagel during the Spring '09 term at Waterloo.

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Assignment_2_S07 - Homework 2 STAT 443 Spring 2007 1(20 points Let cfw_Zt be a sequence of independent normal random variables with zero

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