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  • HT17 Ekonometri 2 180110

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    Petter Andreasson
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    Econometrics 2

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    Econometrics 2

    Copyright:

    © All Rights Reserved
    Scarica in formato PDF o leggi online su Scribd
    Segnala contenuti inappropriati
    10 visualizzazioni18 pagine

    HT17 Ekonometri 2 180110

    Caricato da

    Petter Andreasson
    Econometrics 2

    Copyright:

    © All Rights Reserved
    Scarica in formato PDF o leggi online su Scribd
    Segnala contenuti inappropriati
    di 18
    Stal Urinnty Departmeat of Satie Econometrics I WRITTEN EXAMINATION Wednesday January 10, 2018, ‘ool allowed: Pod elelator Pasking rte 29% of over tla, which 100 points, For detailed grading: criteria, se the course descr Foe the maximum numberof points on each problem detailed aad ear solutions ace rere. Observes: If ot indicated otherwise, the mor terms in the males are sessed independent sud N'(0a) You may answer ie Swoh 1. (2p) Yeuly wales for some Gaaneal vale pate resi for 11 yeas (02 yooh (1) Plot the data, By visual inspection would you consider to be ‘alionary? Why sy ot? (0) Use an appropeate exponential snothing method to compute a areca (prediction for year 12. Une the daca factor 2 end the whol given sorie of vues fr computation of the ating sale (6) Attics smoathiug posiity «the se af the simple moving fveage with span N Dasribe in shore terms the main principal {heoratialdiferies between the mmpothing you sed be (B) fn the simple moving average smoothing 2 (2p) Tre or fase? Short mtiaton/comsment also nee {o) The pasta ajustout (stork) model x comteute for special use on panel dat (6) The expectation fy Un an MAmode! ie zr if he parameter (c) The test tatisticin Durbins Mets pprosinatety Pstebted sander Ho (2) ta the Koyek model Cou n-1)= 0, where the ror crm, (6) The ml iypothere eit root tests moun that tho investigate process tion (0, A natural choice of model for panel data is REM, Ifthe dat is ‘sun abled nen sample from = Inegr population, (0) A GARCH model sd to eeount or autooreltion in atime ‘eres od. 2 (1p) Conde the following estimate autocorrelation oeicons using $n otra orm stinry yo Lag _ACE. ar (6) Test the ml hypothe that Ue mtocoreatonFanetions for ag, To 5 are al zeta at silane level 5% (©) Which underlying ime series nde woul you saguest (wih n> ‘ivtion) gion the iformatin this ituntion? (¢) Dative an exreton for py, van your chosen rode! in (0) 44 (U6) Bs on observe als af time series a, an ARIAL) swat ied with route ws Uo. (0 = ea) Se FENN succes (@) Do the results of to etioted ACP for 2: sport the chasor usd del? Why wy nat? (0) Write out the estimated model of a8 =. wth the parse rete timated, ‘Als, compute E() and V(4). (This menns th sue as com: sutng (3) and V(4) and then inrting the etm pe eer) 5 (14) Let. bow stationary AR(2) process, From datn wo have tan wetimatee of the eitoconsatnfunctlons Py WU ad pear, Compute a extimate ofp. (185) Consider the stochastic procuses below. Forsch proces de: {ermine is stationary oe nonsttionary I the Inter cane apn, Aetenrinem transformation to snk it stationary Lwatites 2 weet Formula ehect, Beonometries IT, Spring 2017 Under tes var ml y= 8 + army bee ~ 8,03 sre indepenr: prof abet (20am Ee he OLS ond} B= aie a. Elum ae Se = SS Ewa where = B+ Bes and whare BUR) = By BOR) = Bs we F(6) =o? Comparing ws oh" mal wih "vew* (rp = (8S BS5)/ Wiel = nb f pater yO ew I) gg Hy) ter fnew regrets © TER i/o oor a parte Comparing an “erst” moe! witha ratrt (SS NSSienn (Rg 1) BSSaiin=8)~ T= Mayle H) hs m i the at of ca contrat and she ber f cutee Jib att ed Dynamic mone y =o Farner oes y= aft 9) 48,441 4 Adaptive expections: j= 92s hz, +(1 1M + (a Peri utinent e880 40.2 (08g at Bg sh) “The Durbin Wain d state "The arte hii: “Gre ee} S00) £5 b-ne-o Aocarttion nein: = SoH, pa. aD Sanpete fet: cere expo smonthing r= Aes a Seconda exponential ating P= at ec) ie =! tet by = ant (=oiter Hi) T= alates) =a), Broeft)= broth + Feces unde «constant prose Sect) 7= 1% Freee det tend Fron) =r bar sto f= r+ Birt = 299 9 ar white ne The Q mata a= aS =x4K) wna (i) eee ARMA) ‘Staiomsity and esr odie sen srs moses Model Stainuity wey “sltane_ouase ARM) Wheto Sroret any) Gyn dret one Weal

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