TS Module 6: Stationary autoregressive processes HW
(The attached PDF file has better formatting.)
Homework assignment: AR(2) process
An AR(2) process has ö1 = 0.2 or –0.2 and ö2 = ranging
from 0.2 to 0.7 in steps of 0.1.
from –0.2 to –0.9 in steps of –0.1.
Complete the table below, showing ñ1 and ñ2, the autocorrelations of lags 1 and 2. Use an Excel spreadsheet (or other software) and form the table by coding the cell formulas. Print the Excel spreadsheet and send it in as your homework assignment.
ö1 | ö2 | ñ1 | ñ2 | ö1 | ö2 | ñ1 | ñ2 |
0.2 | 0.2 | | | -0.2 | 0.2 | | |
0.2 | 0.3 | | | -0.2 | 0.3 | | |
0.2 | 0.4 | | | -0.2 | 0.4 | | |
0.2 | 0.5 | | | -0.2 | 0.5 | | |
0.2 | 0.6 | | | -0.2 | 0.6 | | |
0.2 | 0.7 | | | -0.2 | 0.7 | | |
0.2 | -0.2 | | | -0.2 | -0.2 | | |
0.2 | -0.3 | | | -0.2 | -0.3 | | |
0.2 | -0.4 | | | -0.2 | -0.4 | | |
0.2 | -0.5 | | | -0.2 | -0.5 | | |
0.2 | -0.6 | | | -0.2 | -0.6 | | |
0.2 | -0.7 | | | -0.2 | -0.7 | | |
0.2 | -0.8 | | | -0.2 | -0.8 | | |
0.2 | -0.9 | | | -0.2 | -0.9 | | |