Total No. of Printed Pages : 4] M/Sem 111/160 Roll No. .. M. A. Semester III Examination, 2013-14 ECONOMICS Paper : ECM-305B Time Series Econometrics Time : Three hours J [Full Marks +70 { Write your Roll No. at the top immediately on the receipt of this question paper. ] Note: All questions are compulsory. wh wer oftard 8 SECTION -A ws-a Note: Write your answer in about 50 words. Each question carries 2 marks, SOF GER wT 50 areal HY feiftg) wale wer B 2 ie F 1 1. Answer the following : fr & Ge shore: P.T.O.MSem. 111/160 (i) Lag and lead in time series aaah a om va ote (ii) Difference and lag operator HR Vd ST GTR (iii) Non. Stationarity condition a Rewer ere (iv) Error Correction Mechanism (ECM) a ata sire (vi) Ljung - Box (LB) Statistic LB ara SECTION -B ws -4 Note: Write your answer in about 250 words. Each question carries 10 marks. ont oie a 250 emt a RE) Fate wer S ws e) 2. Derive mi order stochastic difference equation. Also deduce solution of first order difference equation : Vy = Ay +) Yo & when initial condition is given, at pa or Rao ome Sater ert ofS wer Ia ON WAHT Sy; = ay Hay Yoh cy FT gah are Ary Tah orefers wd 4) eh 81 OR we Por model U,=pll, ,+Vslplel, derive expressions for mean, variance and auto-correlated terms. are Uy = pupa + Vil ple 1, 8g ware wey {ag Ara, gen we} AST aa THT | (2)Sem. 1/160 3. Derive stationarity conditions with the help of mean, variance and auto-covariance of Y, for model Y= Oo + 01%) +Uy WET Y, =a, omens Uae BS RT a verre A wee OY Rav A wd sit afer OR aaa In co-integration analysis, examine the nature of vector auto regressive (VAR) technique. Show that a multivariate time series generalization of AR Model is YAR. aterm were 9 var af seh a ore Hifee) zetse PAR MAT A aE area Ad a WIRAGT VAR eet @ | 4. For autoregression process Une |AR(1)| derive non- stationarity condition in terms of mean and variance. AR() SR & srerfa aftere HY af at mer wd FART HY MBTEAT BRS FATTY | OR aera Examine the nature of ARCH and GARCH in time series econometics, Show that GARCH is a special case of ARCH. ret 3 aeiff A ARCH Ta GARCH BH waht St fren afery| Rig Ay fe GARCH, ARCH @ um fasts ured 81 SECTION ~C ws -4 Note: Answer the following questions. Each question carries 15 marks. A met dS war Ay | Fela we 15 slot S a (3) P.T.0.Sem. 11/160 5. For multivariate R variable time series model : Y = XPtu, Show that b=(X'X)'X’Y and V(b) =021(X'X) }. Also prove that 8 is an unbiased estimator cer ROR we FON Y = xpeu, y eatigy A b=(X XP XY and V(b)=o7(X'X)! 8 ve fag atfare fa B ve araraes areerai ear 21 OR aera For bivariate time series model, deduce essential conditions for cointegration, Examine Granger Causality test and Error Corretion Mechanism (ECM) in this connection feve ara At oy weg S Gy omeeas wal at amgy| gH We A Ty orafefe wer sen gfe gare enc (ECM) Th TPTETRE | 6. Define the nature of log operator in time series. With the help of log operator, derive stationarity conditions for AR (1) ie y, = m+ ay, 4) +6; in terms of mean and variance. ara sof & orenta, sere uma aA wa a) aa | SRR oT A TEVA VY ARC) yy = M+ ayy at @) Remar wl ana ger fae at Berea a eae wifey OR sent Derive Yule-walker equations for AR (2) Process. AR(2) sfiiar 2y Beara eet oh ane TTC (4) 400