{[ promptMessage ]}

Bookmark it

{[ promptMessage ]}

hwk3soln

# hwk3soln - STSCI 4550 ILRST 4550 ORIE 5550 Applied Time...

This preview shows pages 1–2. Sign up to view the full content.

STSCI 4550 / ILRST 4550 / ORIE 5550 Applied Time Series Analysis, Spring 2012 Professor David S. Matteson Assignment #3 Suggested Solutions Out of 23 possible points Note: BJR refers to class text: Time Series Analysis: Forecasting and Control, 4th Edition by Box, Jenkins, Reinsel (2008). 1.a (2 pts) Lag 1 2 3 4 5 6 7 8 9 10 11 12 ACF 0.20 -0.05 -0.13 -0.09 -0.08 -0.03 -0.07 -0.02 -0.08 0.03 0.12 0.14 PACF 0.20 -0.10 -0.10 -0.05 -0.07 -0.02 -0.09 -0.02 -0.10 0.03 0.08 0.08 Lag 13 14 15 16 17 18 19 20 21 22 23 24 ACF -0.02 -0.09 -0.12 -0.05 -0.09 -0.10 -0.03 0.05 -0.00 0.01 0.09 0.15 PACF -0.07 -0.06 -0.07 -0.02 -0.11 -0.10 -0.02 0.02 -0.06 -0.05 0.05 0.09 1.b (2 pts) H 0 : ρ 1 = ρ 2 = ... = ρ 12 = 0 H A : At least one ρ i 6 = 0 , i ∈ { 1 , ..., 12 } By the Box-Ljung test, we have a χ 2 test statistic of 30.01 on a Null χ 2 12 distribution, resulting in a p-value of 0 . 003 < 0 . 05. We can thus reject H 0 at the 5% level to conclude that the first 12 lags of ACF are not all zero. 1.c (2 pts) H 0 : ρ 12 = 0 H A : ρ 12 6 = 0 ˆ ρ 12 = 0 . 145, while under H 0 , SE ρ 12 ) 1 n = 1 228 . This results in a t-statistic of 2 . 189 on a Null t df =227 distribution, which gives a p-value of 0 . 015 < 0 . 05, so we can reject H 0 at the 5% level to conclude that ρ 12 6 = 0.

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

View Full Document
This is the end of the preview. Sign up to access the rest of the document.

{[ snackBarMessage ]}

### What students are saying

• As a current student on this bumpy collegiate pathway, I stumbled upon Course Hero, where I can find study resources for nearly all my courses, get online help from tutors 24/7, and even share my old projects, papers, and lecture notes with other students.

Kiran Temple University Fox School of Business ‘17, Course Hero Intern

• I cannot even describe how much Course Hero helped me this summer. It’s truly become something I can always rely on and help me. In the end, I was not only able to survive summer classes, but I was able to thrive thanks to Course Hero.

Dana University of Pennsylvania ‘17, Course Hero Intern

• The ability to access any university’s resources through Course Hero proved invaluable in my case. I was behind on Tulane coursework and actually used UCLA’s materials to help me move forward and get everything together on time.

Jill Tulane University ‘16, Course Hero Intern