1: Explain the term ‘autoregression’ in a time series regression context. 2. Explain the term ‘autocorrelation’...

1: Explain the term ‘autoregression’ in a time series regression context.

2. Explain the term ‘autocorrelation’ and the problems it creates when using OLS regression in time series data.

Expert Solution

orchestra answered 2 years ago

1: Explain the term ‘autoregression’ in a time series regression context. 2. Explain the term ‘autocorrelation’...

1: Explain the term ‘autoregression’ in a time series regression context. 2. Explain the term ‘autocorrelation’ and the problems it creates when using OLS regression in time series data.

Use alpha= 0.05 to test the following time series for positive autocorrelation. Period Sales 1 2...

Use alpha= 0.05 to test the following time series for positive autocorrelation. Period Sales 1 2 2 5 3 9 4 6 5 6 6 9 7 10 8 12 9 10 10 13 11 18 12 11 13 13 14 13 15 14 a) Determine the Durbin-Watson statistic. (Round to two decimal places as needed.) b) Identify the critical values. dL= dU= (Round to two decimal places as needed.)

Explain what is meant by the following time series terms i) Sample autocorrelation function ii) The...

Explain what is meant by the following time series terms i) Sample autocorrelation function ii) The if and only if conditions for the stationarity of the ARMA(p,q) process iii) The partial autocorrelation function

5. Use a=0.05 to test the following time series for positive autocorrelation. Period Sales 1 4...

5. Use a=0.05 to test the following time series for positive autocorrelation. Period Sales 1 4 2 7 3 11 4 10 5 10 6 11 7 14 8 16 9 12 10 13 11 19 12 12 13 14 14 16 15 15 a. Determine the Durbin-Watson statistic. (Round to two decimal places as needed.) b. Identify the critical values. dL=? dU=?(Round to two decimal places as needed.)

5. Use a=0.05 to test the following time series for positive autocorrelation. Period Sales 1 4...

5. Use a=0.05 to test the following time series for positive autocorrelation. Period Sales 1 4 2 7 3 11 4 10 5 10 6 11 7 14 8 16 9 12 10 13 11 19 12 12 13 14 14 16 15 15 a. Determine the Durbin-Watson statistic. (Round to two decimal places as needed.) b. Identify the critical values. dL=? dU=? (Round to two decimal places as needed.)

Please explain what the term collinearity (or multicollinearity in the multiple regression context) means. Does it...

Please explain what the term collinearity (or multicollinearity in the multiple regression context) means. Does it affect our regression estimates (i.e., betas) or their variances? If so, please explain how? Does multicollinearity affect the chances of making either a Type I or Type II error? If so, how so?

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...

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1: Explain the term ‘autoregression’ in a time series regression context. 2. Explain the term ‘autocorrelation’...

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1: Explain the term ‘autoregression’ in a time series regression context. 2. Explain the term ‘autocorrelation’...

Use alpha= 0.05 to test the following time series for positive autocorrelation. Period Sales 1 2...

Explain what is meant by the following time series terms i) Sample autocorrelation function ii) The...

5. Use a=0.05 to test the following time series for positive autocorrelation. Period Sales 1 4...

5. Use a=0.05 to test the following time series for positive autocorrelation. Period Sales 1 4...

Please explain what the term collinearity (or multicollinearity in the multiple regression context) means. Does it...

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

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