Midterm 1 - j = 1 , 2 , . . . . (f) Derive the...

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Economics 467: Economic Forecasting State University of New York at Binghamton Department of Economics Spring 2010 Midterm I Theexamcons istso fthreequest ionsontwo pages. Each question is of equal value. 1. State (do not explain) whether or not the following series are stationary or non-stationary. In each case assume that ε t is a white noise sequence, t =1 , 2 ,...,T . (a) y t =0 . 5+ ε t (b) y t =1 . 5+ ε t (c) y t =0 . 5+ ε t +0 . 4 ε t 1 (d) y t =0 . 5+ ε t +1 . 4 ε t 1 (e) y t =0 . 5+ ε t +0 . 4 ε t 1 +0 . 5 ε t 2 (f) y t =0 . 5+ ε t +0 . 4 ε t 1 +0 . 5 ε t 2 +0 . 1 ε t 3 (g) y t =0 . 5+0 . 4 y t 1 + ε t (h) y t =0 . 5+1 . 4 y t 1 + ε t (i) y t =0 . 5+0 . 4 y t 1 +0 . 5 y t 2 + ε t (j) y t =0 . 5+0 . 4 y t 1 +0 . 5 y t 2 +0 . 1 y t 3 + ε t (k) y t =0 . 5+0 . 4 y t 1 +0 . 5 y t 2 + ε t +0 . 4 ε t 1 +0 . 5 ε t 2 2. Consider the following model: y t = μ + ε t + θ 2 ε t 2 (a) What is the common name for this model? (b) What type of data frequency would you expect to form this type of model.
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Unformatted text preview: j = 1 , 2 , . . . . (f) Derive the autocorrelation for all all lags j = 1 , 2 , . . . . Plot the autocorrelation function. (g) State the condition for which the model is invertible. (h) Assuming that the model is invertible, write it as an AR ( ). 1 Table 1: 3. Consider the EViews output for the time series regression of the series log( CPINSA t /CPINSA t 4 ) where CPINSA contains quarterly values of the Consumer Price Index from 1961:Q1 to 2008:Q1. (a) Brie y explain the relevance of using the series log( CPINSA t /CPINSA t 4 ) as opposed to log ( CPINSA t ). (b) Why does EViews list the sample as starting from 1961:Q3 instead of 1961:Q1? (c) Is this series stationary? How do you know? (d) Is this series invertible? How do you know? 2...
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This note was uploaded on 02/02/2012 for the course ECON 467 taught by Professor Henderson during the Fall '11 term at Binghamton University.

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Midterm 1 - j = 1 , 2 , . . . . (f) Derive the...

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