Review_Problems

# Review_Problems - REVIEW PROBLEMS 1 Consider the stationary...

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1 REVIEW PROBLEMS 1. Consider the stationary autoregressive process Y 2 0.9 Y 0.7 Y > >" ># > œ % (a) Obtain a general formula for one and two step ahead forecasts for the model. (b) If the values of Y = 100 and Y = 89, obtain forecasts for Y and Y . "! * "" "# 2. Answer each of the following TRUE (T) or FALSE (F). In each case give an (brief) explanation. An answer without explanation will not be given any credit. In all the T-F questions t is the time index and 's are uncorrelated series with mean 0 and constant % t variance. (a) A white-noise process is an example of a (weakly) stationary process. (b) If the time series for a commodity price can be described by a Random Walk Model then we can conclude that the commodity price series is a stationary time-series. (c) If the regression model Y = + X + was estimated from 400 observations > ! " > > " " % and the first order sample autocorrelation of the residuals was found to be 0.16, the first-order autocorrelation is not significant (at =0.05 level). α

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