Economics 2223A/B Study Guide - Quiz Guide: Moving-Average Model, Time Series, Root Mean Square
10 Dec 2018
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Due april 10th at the beginning of the class in which you are registered. In other words, yt depends on a current period innovation ut as well as the innovation last period ut 1. This is called a moving average process of order 1, denoted ma(1). Assume ut is independent and identically distributed across time. In partic- ular, ut n (0, 1): is ut stationary, calculate cov(yt, yt+1), calculate cov(yt, yt+2). Does this depend on the value of ? (you do not need a formal proof, but what is your best guess. : suppose that xt = + t + t 1. T is independent and identically dis- tributed across time, and is also independent of all values of ut. Keep the same setup as the scrap rate example in class. Speci cally, the eco- nomic model and statistical model that motivated the equation.
