Page 87 nomor 17

Allie, White, the chief loan officer for Dominion Bank, would like to analyze the bank’s loan
portofolio for the years 1998-2003. The data are shown in Table P-17.

a. Compute the autocrrelation for lag 1 and 2. Test to determine whether these
autocorrelation are significantly different from zero at the 0.5 significance level
b. Use a computer program to plot the data and compute the autocorrelations for the
first six time lags. Is this time series stationary?

Answer:

To compute the autocorrelation for lag 1 and 2 we need to compute the atribut. We use
Minitab 16 to compute this. This is the result in table-1.

t Yt Y t −1 Y t −2 Y t −Ý Y t −1 −Ý (Y ¿¿ t−Ý )2 ¿ (Y ¿ ¿ t−Ý )¿ ¿)

1 2313 - - -2152.67 - 4633988.129 -
2 2495 2313 - -1970.67 -2152.67 3883540.249 4242202.189
3 2609 2495 2313 -1856.67 -1970.67 3447223.489 3658883.869
4 2792 2609 2495 -1673.67 -1856.67 2801171.269 3107452.879
5 2860 2792 2609 -1605.67 -1673.67 2578176.149 2687361.709
6 3099 2860 2792 -1366.67 -1605.67 1867786.889 2194421.019
7 3202 3099 2860 -1263.67 -1366.67 1596861.869 1727019.879
8 3161 3202 3099 -1304.67 -1263.67 1702163.809 1648672.339
9 3399 3161 3202 -1066.67 -1304.67 1137784.889 1391652.349
10 3471 3399 3161 -994.67 -1066.67 989368.4089 1060984.649
11 3545 3471 3399 -920.67 -994.67 847633.2489 915762.8289
12 3851 3545 3471 -614.67 -920.67 377819.2089 565908.2289
13 4458 3851 3545 -7.67 -614.67 58.8289 4714.5189
14 4850 4458 3851 384.33 -7.67 147709.5489 -2947.8111
15 5093 4850 4458 627.33 384.33 393542.9289 241101.7389
16 5318 5093 4850 852.33 627.33 726466.4289 534692.1789
17 5756 5318 5093 1290.33 852.33 1664951.509 1099786.969
18 6013 5756 5318 1547.33 1290.33 2394230.129 1996566.319
19 6158 6013 5756 1692.33 1547.33 2863980.829 2618592.979
20 6289 6158 6013 1823.33 1692.33 3324532.289 3085676.059
21 6369 6289 6158 1903.33 1823.33 3622665.089 3470398.689
22 6568 6369 6289 2102.33 1903.33 4419791.429 4001427.759
23 6646 6568 6369 2180.33 2102.33 4753838.909 4583773.169
24 6861 6646 6568 2395.33 2180.33 5737605.809 5222609.859
107176 100315 -0.08 -2395.41 55912891.33 50056714.36
a. Perhitungan :
 24 24

∑Yt 107176
∑ (Y ¿ ¿ t−Ý )(Y t−2−Ý )
n=1
Ý = = =4465,67 r 2= t=3 24
¿
n 24 2
24
∑ (Y ¿¿ t−Ý ) ¿
t =1
∑ (Y ¿ ¿ t−Ý )(Y t−1−Ý ) 44081584
r 1= t=2 ¿ ¿
24
55912891.33
∑ (Y ¿¿ t−Ý )2 ¿
t =1 ¿ 0.788398 ≈ 0.788
50056714.36
¿ =0.895263 ≈ 0.895
55912891.33

t Y t −2−Ý (Y ¿ ¿ t−Ý )¿ ¿)
1 - -
2 - -
3 -2152.67 3996798
4 -1970.67 3298251
5 -1856.67 2981199
6 -1673.67 2287355
7 -1605.67 2029037
8 -1366.67 1783053
9 -1263.67 1347919
10 -1304.67 1297716
11 -1066.67 982051
12 -994.67 611394
13 -920.67 7062
14 -614.67 -236236
15 -7.67 -4812
Hypothesis
16 384.33 Test for r 1 327576 Hypothesis Test for r 2
17 H 627.33 809463
i. 0 : ρ 1=0 i. H 0 : ρ2=0
18 852.33 1318836
H
19 11290.33: ρ 1 ≠ 0 2183664 H 1 : ρ2 ≠ 0
20
ii. α =5 1547.33
% 2821293 ii. α =5 %
21 1692.33 3221062
iii.
22 Critical
1823.33 value: null hypothesis
3833241 is rejected iii. Critical value: null hypothesis is
23 if t 1903.33 4149887
1> t table ( 23 ;5 %) ∨t 1 <−t table ( 23 ;5 % ) rejected if t 2> t table (23 ;5 %)∨t 2 <−t table (23 ;5 % )
24 2102.33 5035774
∑❑ t >2.069∨t
-4575.74 ←2.069 44081584 t >2.069∨t ←2.069
iv. Test statistic iv. Test statistic
r1 0.895 r2 0.788
t 1= = =4.39 t 2= = =2.39
SE ( r 1 ) 0.204 SE ( r 2 ) 0.329
1 1 1+ 2.r 12
With SE ( r 1 )= =
√ n √24
=0.204 With SE ( r 2 )=
√ n
=0.329

v. Conclusion
 v. Conclusion
Because the value of t 1> 2.069 so we
reject null hyphotesis, it mean the
autocorrelation coefficient of lag 1
different from zero
Because the value of t 1> 2.069 so we
reject null hyphotesis, it mean the
autocorrelation coefficient of lag 1
different from zero.

b. According to the output of Software Minitab 16, we can see the plot data and plot ACF in
first six time lags.

Plot ACF

Autocorrelation Function for yt

(with 5% significance limits for the autocorrelations)
1.0
0.8
0.6
0.4
Autocorrelation

0.2
0.0
-0.2
-0.4
-0.6
-0.8
-1.0
1 2 3 4 5 6
Lag

Autocorrelation Function: yt
Lag ACF T LBQ
1 0.895262 4.39 21.74
2 0.788397 2.39 39.37
3 0.673311 1.68 52.85
4 0.558157 1.25 62.57
5 0.433083 0.92 68.73
6 0.309419 0.63 72.04
 From the ACF we see that lag 1 and lag 2 out of confidence interval so we conclude
the series NONSTATIONARY. Because the autocorrelation coefficient not decline to
zero (0) fairly rapidly.
Page 87 number 18

This question refers to Problem 17. Compute the first differences of the quarterly loan data
for Dominian Bank.

a. Compute the autocorrelation coefficient for time lag 1 using the differenced data.
b. Use a computer program to plot the differenced data and compute the
autocorrelations for the differenced data for the first six time lags. Is the data
stationary?

Answer:

Differenced data with Excel

t Yt Y t −1 Y t −Ý Y t −1 −Ý 2
(Y ¿¿ t−Ý ) ¿ (Y ¿ ¿ t−Ý )¿ ¿ )
1 182 - -15.7391 - 247.7193 -
2 114 182 -83.7391 -15.7391 7012.237 1317.978
3 183 114 -14.7391 -83.7391 217.2411 1234.239
4 68 183 -129.739 -14.7391 16832.23 1912.238
5 239 68 41.2609 -129.739 1702.462 -5353.15
6 103 239 -94.7391 41.2609 8975.497 -3909.02
7 -41 103 -238.739 -94.7391 56996.36 22617.93
8 238 -41 40.2609 -238.739 1620.94 -9611.85
9 72 238 -125.739 40.2609 15810.32 -5062.37
10 74 72 -123.739 -125.739 15311.36 15558.84
11 306 74 108.2609 -123.739 11720.42 -13396.1
12 607 306 409.2609 108.2609 167494.5 44306.95
13 392 607 194.2609 409.2609 37737.3 79503.39
14 243 392 45.2609 194.2609 2048.549 8792.423
15 225 243 27.2609 45.2609 743.1567 1233.853
16 438 225 240.2609 27.2609 57725.3 6549.728
17 257 438 59.2609 240.2609 3511.854 14238.08
18 145 257 -52.7391 59.2609 2781.413 -3125.37
19 131 145 -66.7391 -52.7391 4454.107 3519.76
20 80 131 -117.739 -66.7391 13862.5 7857.802
21 199 80 1.2609 -117.739 1.589869 -148.457
22 78 199 -119.739 1.2609 14337.45 -150.979
23 215 78 17.2609 -119.739 297.9387 -2066.8
Su
m 4333 15.7398 -17.2602 441194.7 165819.1
 23

∑ (Y ¿ ¿ t−Ý )(Y t−1−Ý )

t=2
a. r 1= 23
¿
2
∑ (Y ¿¿ t−Ý ) ¿
t =1

165819.1
¿ =0.376
441194.7

Hypothesis Test for r 1

i. H 0 : ρ 1=0
H 1 : ρ1 ≠ 0
ii. α =5 %
iii. Critical value: null hypothesis is rejected if t 1> t table (22; 5% )∨t 1 <−t table (22 ;5 % )
t >2.074∨t←2.074
iv. Test statistic
r1 0.376
t 1= = =1.80
SE ( r 1 ) 0.208

1 1
With SE ( r 1 )= = =0.208
√ n √23

v. Conclusion

Because the value of t 1 place beetwen (−2.074,2 .074) or −2.074< t 1 <2.074 we don’t reject
null hypothesis. It mean that the autocorrelation coefficient for lag 1 close to zero.

b. According to the output of Software Minitab 16, we can see the plot data and plot
ACF in first six time lags.

Autocorrelation Function for differ

(with 5% significance limits for the autocorrelations)

1.0
0.8
0.6
0.4
Autocorrelation

0.2
0.0
-0.2
-0.4
-0.6
-0.8
-1.0

1 2 3 4 5 6
Lag
Autocorrelation Function: differ

Lag ACF T LBQ

1 0.375630 1.80 3.69
2 0.069899 0.30 3.82
3 0.112784 0.48 4.19
4 0.131964 0.55 4.71
5 -0.115584 -0.48 5.14
6 -0.350893 -1.43 9.31
Explanation:

 From the ACF plot we can see that there is no lag out of confidence interval and the
other lags close to zero. So, we can conclude that the series STATIONARY.