ARMA-Eview Application

MA Process
MA Process
Y[i,1]=1*u[i,1]+1.5*u[i-1,1];
MA with order of 1
The Graph of Autocorrelation function
When Acf will dampen?
MA Process
MA Process
MA Process
MA Process
AR Process
AR Process
AR with order of 2
Y[i,1]=0.8*Y[i-1,1]+ 0.6*Y[i-2,1]+3*u[i,1]
The Graph of Autocorrelation function
Stationary or Non-stationary?
Acf will damp?
AR Process
AR Process
AR Process
AR Process
AR Process
Y[i,1]=0.2*Y[i-1,1]+ 0.3*Y[i-2,1]+3*u[i,1]
Stationary or non-stationary?
Acf will decrease?
Autocorrelation versus partial autocorrelation
AR Process
ARMA Process
ARMA Process
Y[i,1]=0.6*Y[i-1,1]+u[i,1]+0.4*u[i-1,1]+0.2*u[i-
2,1]
Acf will dampen?
ARMA Process
ARMA Process
ARMA (1,2)
Y[i,1]=0.6*Y[i-1,1]+u[i,1]+0.4*u[i-1,1]+0.2*u[i-
2,1]
How to estimate?

ARMA Process
ARMA Process