115 views

Uploaded by Ly Sophea

Econometrics

- 0802.0213
- Estimating a VAR
- lectvar
- 2503-5087-1-SM
- Econometric Assign1
- US Federal Reserve: ifdp866
- PIW_14
- media_21789_en
- Chapter 3 Solutions
- R-Tips
- 28_08_2012
- ECONOMETRICS ASSIGNMENT.docx
- Shumway and Stoffer
- c18-6
- An Empirical Analysis of Cash Crop Production, Transport and the Nigerian Economy
- Week 1 Statistics in Business Summary
- Bayesian Analysis Using MCMC on Survey Data
- Nonparametric vector autoregression
- S2017_STA_Lecture_01 (1).pptx
- Lecture 25

You are on page 1of 2

Assignment 1 consists of 4 + 1 problems, and is due by 5 pm on Wednesday 14 August. The question marked with a hash (#) is for postgraduate students only. 1. (7 points) Let X1 , . . . , Xm and Y1 , . . . , Yn be independent and identically distributed (iid) observations with common mean and variance and 2 , respectively. Let X and Y denote the sample means, i.e., = 1 X m

m

Xi ,

i=1

= 1 Y n

Yi .

i=1

Consider the following two estimators of : 1 = (a) Find E(1 ) and E(2 ). (b) Find Var(1 ) and Var(2 ). (c) Which estimator is better? Explain your answer. (d) Now suppose X1 , . . . , Xm and Y1 , . . . , Yn are iid N(, 2 ) random variables. Find the distributions of 1 and 2 . 2. (5 points) Suppose y N(X , ), where X, and are known matrices. Furthermore, is symmetric, i.e., = . Let = (X 1 X)1 X 1 y. (a) Find the expected value E( ). (b) Find the covariance matrix of . (c) What is the distribution of ? 3. (6 points) Write a MATLAB script to generate data from the following AR(2) process with a drift: yt = + 1 yt1 + 2 yt2 + t , t N(0, 2 ), for t = 1, 2, . . . , T , where the process is initialized with y1 = y0 = . Set T = 50, = 5, 1 = 0.5, 2 = 0.1 and 2 = 2. (a) Plot one realization of the AR(2) process. (b) Generate 1000 realizations of the AR(2) process. For each series, compute the sample mean and sample variance. Plot histograms of the sample means and sample variances. +Y X , 2 2 = + nY mX . m+n

4. (7 points) Suppose we wish to make an iterated two-step-ahead forecast using the AR(2) model in Exercise 3. (a) Compute the conditional expectation E(yT +2 | IT , ), where IT is the information set at time t = T and = (, ) . (b) Is this point forecast optimal in any well-dened sense? Explain. (c) Derive also the conditional density f (yT +2 | IT , ). (d) Using the values yT = 15, yT 1 = 18, yT 2 = 12, = 5, 1 = 0.5, 2 = 0.1 and 2 = 2, compute the probability that yT +2 > 16. 5. (7 points) Suppose we wish to compare the forecast accuracy of two simple methods for forecasting Australian unemployment rate: (1) the random-walk method that uses only the most recent observation and (2) a simple weighted average using the past three observations: yt+1 = 0.5yt + 0.25yt1 + 0.25yt2 .

#

Table 1: Australian unemployment rate Quarter ination 2011-01 5.4 5.6 2011-02 2011-03 5.3 2011-04 5.0 2011-05 5.0 2011-06 4.8 2011-07 4.8 2011-08 5.1 2011-09 5.2 2011-10 5.0 2011-11 4.9 2011-12 5.0

from January 2011 to December 2012. Quarter ination 2012-01 5.5 2012-02 5.9 2012-03 5.5 2012-04 5.0 2012-05 5.2 2012-06 5.0 2012-07 4.9 2012-08 5.0 2012-09 5.5 2012-10 5.2 2012-11 4.9 2012-12 5.2

The evaluation period is from May 2011 to December 2012. As for measures of accuracy, we consider MAPE, sMAPE, MdRAE and MASE (for details see Hyndman and Koehler, 2006). (a) Use the two methods to produce 1-step-ahead forecasts from May 2011 to December 2012. (b) Compute the four measures of forecast accuracy for the two methods. For this problem you may use any of your favorite software (MATLAB, Excel, hand-held calculator, etc.). 2

- 0802.0213Uploaded byGalina Alexeeva
- Estimating a VARUploaded byNur Cholik Widyan Sa
- lectvarUploaded byrunawayyy
- 2503-5087-1-SMUploaded byAli Hussain
- Econometric Assign1Uploaded byLaura Reed
- US Federal Reserve: ifdp866Uploaded byThe Fed
- PIW_14Uploaded byLeslie Gallardo
- media_21789_enUploaded bySunny Khan
- Chapter 3 SolutionsUploaded byShawn Waltz
- R-TipsUploaded bySoumya Ranjan
- 28_08_2012Uploaded byRavi Agarwal
- ECONOMETRICS ASSIGNMENT.docxUploaded byIbad Desmukh
- Shumway and StofferUploaded byReem Sak
- c18-6Uploaded byVinay Gupta
- An Empirical Analysis of Cash Crop Production, Transport and the Nigerian EconomyUploaded byInternational Organization of Scientific Research (IOSR)
- Week 1 Statistics in Business SummaryUploaded byN_PULLENS
- Bayesian Analysis Using MCMC on Survey DataUploaded bySanoj Kumar
- Nonparametric vector autoregressionUploaded bymintajvshokolade
- S2017_STA_Lecture_01 (1).pptxUploaded byQuang Chien Pham
- Lecture 25Uploaded byEd Z
- Lab 11(linearity & scaling) .docxUploaded bymuhammad hassan
- Tests of Normality KTIUploaded byZaky Ibadurrahman
- Sta1008f 2019 Project DataUploaded byDaniel
- Introduction to StatisticsUploaded byMike Cañares
- Time Series Forecasting Using Exponential SmoothingUploaded byPacymo Dubelogy
- ADFB4CONTAGIONUploaded byolusolaat
- RMUploaded byManisha Jauhari
- A Dynamic Factor Analysis of the Response of Us Interest RatUploaded byBen Salah Mouna
- !!! TimeSeriesUploaded bykaneva_64
- Probabilistic Programming IntroductionUploaded byGanesh Arora

- Heaven & UnheavenUploaded byLy Sophea
- CRWF8000_u5123854_Case1_V5Uploaded byLy Sophea
- Value ChainUploaded byLy Sophea
- HUOT WritingUploaded byLy Sophea
- Khmer GrammarUploaded byLy Sophea
- Basic Economic ConceptUploaded byLy Sophea
- Basic Economic ConceptUploaded byLy Sophea
- Basic Economic ConceptUploaded byLy Sophea
- Case Paper ExcellenceUploaded byLy Sophea
- LSP Summary BusinessUploaded byLy Sophea
- LSP Summary BusinessUploaded byLy Sophea
- LSP Summary BusinessUploaded byLy Sophea
- Lsp Summaryagr NrmUploaded byLy Sophea
- Ielts Tofle Phrase BankUploaded byLy Sophea
- Ielts Tofle Phrase BankUploaded byLy Sophea
- Assignment_3.pdfUploaded byLy Sophea
- CBA_Assignment 1_ SopheaLyU5123854V2(1).xlsxUploaded byLy Sophea
- Crew Role DescriptionUploaded byMalkeet Singh
- Empirics of FDI and Economic GrowthUploaded byLy Sophea
- EMIE_2012_Ass_2Uploaded byLy Sophea
- EMDV8078_Assigment6_SopheaLyUploaded byLy Sophea
- EMIE 2012 Ass 2 Q 1 2 SolutionsUploaded byLy Sophea
- EMDV8078_Assigment9Uploaded byLy Sophea
- Sophea Essay Environmental Economicsv TurnitinUploaded byLy Sophea
- Ass_3_EMIE_2012Uploaded byLy Sophea
- EMDV8078_AssigmentW12_SopheaLyUploaded byLy Sophea
- IDEC8010_U5123854_ResearchProposalv2Uploaded byLy Sophea
- SnowWhiteUploaded byLy Sophea
- IDEC8010_u5123854_OutputUploaded byLy Sophea

- Richard MinnittUploaded bygustavoanaya96
- Experimental DesignUploaded bymanlymohan
- Appendix FUploaded byjames3h3park
- GMMUploaded byShuchi Goel
- bayesGaussUploaded byYogesh Nijsure
- spring2017-600ProblemSet4Uploaded byEd Z
- OUTPUT.docUploaded byst.aminah
- What is Hypothesis TestingUploaded bycjpsyche
- Central Limit Theorem - Wikipedia, The Free EncyclopediaUploaded bydonodoni0008
- Salkind Chapter 4Uploaded byAzuati Mahmud
- FeatureRepresentationGMMUploaded bygurudatha265
- ClrmUploaded bySudhansuSekhar
- Link Prediction Across Networks by Biased Cross-Network SamplingUploaded byElvira Chrisanty
- Aggregation of Correlated Risk Portfolios - Models and Algorithms.pdfUploaded byhc87
- Week 2 Individual y GrupalUploaded byMaria Esther Feliciano Delgado
- Z002000001201440034_Introduction to ProbabilityUploaded byfenty
- Capacity of Wireless Channels LectureUploaded byRatsih
- 22-Lecture Notes on Probability Theory and Random ProcessesUploaded byAshish Sachan
- Efron et al 1996.pdfUploaded bypamrv
- MAST20004-14-Assign4.pdfUploaded byChung Chee Yuen
- LECT_2. Source CodingUploaded bymickyalemu
- BUS 302 Study MaterialUploaded byCadyMyers
- 110105053Uploaded byMarkWeber
- Lecture 2 Experimental ResearchUploaded byHoàng Minh
- Lecture22 Variance & CovarianceUploaded bysourav kumar ray
- MA585 Time Series Analysis Lecture 2Uploaded byPatrick Nam
- Jarque&Bera 1980Uploaded bySalomon Pimentel
- PRA EPA ChaptersUploaded byholt.bradshaw5599
- VarianceUploaded byJack Utso
- new AIUploaded byriddickdanish1