Econometrics Question (a) What properties must a time series {yt} have to satisfy in order for...

Econometrics Question

(a) What properties must a time series {y_t} have to satisfy in order for it to be a covariance stationary process?

Let {u_t} be a sequence of i.i.d. N(0,1) variables.

Let y_t= α+βt+u_t, and y_t = y_t -y_t-1.

(b) Is {y_t} covariance stationary? Justify your answer.
(c) Would your answer to part (b) change if {u_t} were a moving average of order 1?
(d) Is {y_t} covariance stationary? Justify your answer.

 = change in, won't allow a triangle.

Solutions

Expert Solution

%%%%%%%%PLEASE GIVE ME LIKE%%%%%%%%

orchestra answered 1 year ago

Next > < Previous

Related Solutions

Econometrics Question (a) What properties must a time series {yt} have to satisfy in order for...

Econometrics Question (a) What properties must a time series {yt} have to satisfy in order for it to be a covariance stationary process? Let {ut} be a sequence of i.i.d. N(0,1) variables. Let yt= α+βt+ut, and yt = yt -yt-1. (b) Is {yt} covariance stationary? Justify your answer. (c) Would your answer to part (b) change if {ut} were a moving average of order 1? (d) Is {yt} covariance stationary? Justify your answer.  = change in, won't allow a...

11.4 What are the basic requirements that a trainee must satisfy in order to get the...

11.4 What are the basic requirements that a trainee must satisfy in order to get the most out of training?

{Zt} is a Gaussian White Noise in time series. Yt = Zt^2. Can we conclude Yt...

{Zt} is a Gaussian White Noise in time series. Yt = Zt^2. Can we conclude Yt as a non-Gaussian White Noise distribution by the definition of White Noise? Why?

In order for a class action to be certified by the court it must satisfy the...

In order for a class action to be certified by the court it must satisfy the court that it posses five key elements or criteria. Identify and briefly discuss each of these elements. What is the purpose of workers' compensation legislation and how does this legislation modify tort law? Explain how the same set of facts can give rise to liability in tort and in contract. Does negligence require perfect conduct by the defendant to excuse liability? Explain. Describe the...

Econometrics Question: Discuss the intuition behind the maximum likelihood estimator. Discuss what, if any, desirable properties...

Econometrics Question: Discuss the intuition behind the maximum likelihood estimator. Discuss what, if any, desirable properties the maximum likelihood estimator posseses.

2. Consider the same model in a time series context, namely, yt = β0 + β1xt...

2. Consider the same model in a time series context, namely, yt = β0 + β1xt + ut, t = 1, . . . , T where ut = ρut−1 + vt, |ρ| < 1, vt is i.i.d. with E(vt) = 0 and Var(vt) = σ 2 v . (a) What is the problem in using OLS to estimate the model? Is there any problem in hypothesis testing? (b) Show that Cov(ut, ut−τ ) = ρ τVar(ut−τ ) for τ...

Question 3: Credit contracts a) What information must be disclosed to satisfy the requirements of initial...

Question 3: Credit contracts a) What information must be disclosed to satisfy the requirements of initial disclosure under the Credit Contracts and Consumer Finance Act 2003? Refer to a section in the Act to support your answer. b) To who do the oppression parts of the Credit Contracts and Consumer Finance Act 2003 apply? Refer to a section in the Act to support your answer. c) Hamish is a lawyer who owns a home with expansive sea views in an...

Consider the time series given by yt = a1yt-1 + a2yt-2 + εt. Where εt is...

Consider the time series given by yt = a1yt-1 + a2yt-2 + εt. Where εt is independent white noise and yt is stationary. A. Compute the mean of yt. E(yt) B. Compute the variance of yt. E[yt − E(yt)]2 C. Compute the first three autocovariances for yt. (E[(yt −E(yt))(yt−i −E(yt−i))] i=1,2,3).

explain what properties must a chemical have to have a therapeutic effect in humans

Explain what assumptions are needed in order for the OLS estimator to be unbiased in a time series environment.

Subjects