Neas-Seminars

TS Module 3 Trends


http://33771.hs2.instantasp.net/Topic10362.aspx

By NEAS - 12/31/2010 8:45:54 AM

TS Module 3 Trends

 

(The attached PDF file has better formatting.)

 

Time series practice problems means and correlations

 

*Question 3.1: Var()

 

A white noise process Yt = åt has 200 observations, with ã0 = 1.

 

What is Var()?

 


A.   0.001

B.   0.002

C.   0.005

D.   0.010

E.   0.050

 

Answer 3.1: C

 

ã0 = ó2 = 1.

 

Var() = (1/200)2 × 200 × ó2 = 1/200 = 0.005

 

(See Cryer and Chan page 28)

 

Var( ) = (ã0 / n) × [(1 + 2 × ñ1 × (n-1)/n ] = 1/200 = 0.00500

 

 


 

*Question 3.2: Autoregressive process

 

A stationary time series Y of 300 observations has ñk = (½)|k| for all k and ã0 = 1.

 

What is Var()?

 


 

A.   0.01

B.   0.03

C.   0.05

D.   0.15

E.   0.30

 

Answer 3.2: A

 

Var() ≈

 

= (1.5)/(0.5) × 1/300 = 0.01000