MB 309: Time Series Analytics

Assignment
Maximum Marks: 20
Last Date of Submission: Nov 18, 2019 (Monday)
Part A

Answers to be handwritten on A4 sheets and submitted in a folder.

Q1. Explain the concepts of first order and second order stationarity.
Q2. Why is stationarity a basic assumption for time series analysis?
Q3. Show that the Random Walk Model with Drift 𝑌𝑡 = 𝜇 + 𝑌𝑡−1 + 𝜀𝑡 is non-stationary.
What is the significance of the drift term?
Q4. Show that a near Random Walk Model 𝑌𝑡 = 𝜇 + 𝛷𝑌𝑡−1 + 𝜀𝑡 with 0 < 𝛷 < 1 is
asymptotically stationary.
Q5. Find out the order of integration for the following models:
(a) 𝑌𝑡 = 1.5𝑌𝑡−1 + 𝑌𝑡−2 + 𝜖𝑡
(b) 𝑌𝑡 = 𝜇 + 1.25𝑌𝑡−1 − 0.25𝑌𝑡−2 + 𝜖𝑡

Part B: EViews Exercise

Results (in Word Format) and Excel File of Dataset should be mailed to
puneet.arora@dtu.ac.in by November 18, 2019

Choose any variable of your choice (eg GDP, Inflation Rate, Stock Prices etc.). Collect
the data on the variable for at least 30 time periods (years/quarters/days etc.) from a
credible source (RBI/Government Reports/International Agencies etc.). Use E-Views
to analyse the stationarity properties of the data collected. You need to mail the
following in a word document:
(a) Variable Taken
(b) Source
(c) Time Period
(d) Time Series Graph of the Variable
(e) Correlogram
(f) Results of Dickey Fuller Test
(g) Results of Augmented Dickey Fuller Test
(h) If the Series was Non-Stationary, how did you make it stationary?