TS Module 13: Parameter estimation least squares HW
(The attached PDF file has better formatting.)
Homework assignment: Estimating parameters by regression
An AR(1) process has the following values:
0.44 1.05 0.62 0.72 1.08 1.24 1.42 1.35 1.50
A. Estimate the parameter ö by regression analysis.
B. What are 95% confidence intervals for the value of ö?
C. You initially believed that ö is 50%. Should you reject this assumption?
The time series course does not teach regression analysis. You are assumed to know how to run a regression analysis, and you must run regressions for the student project.
Use the Excel regression add-in. The 95% confidence interval is the estimated â ± the t-value × the standard error of â. The t-value depends on the number of observations. Excel has a built-in function giving the t-value for a sample of N observations.