ASSIGNMENT1 SP MULTIMEDIA

PETUNJUK SOAL:
1. Soal diberikan pada ASSIGNEMENT1 SPM di halaman berikut.
2. Kelompok 1, nomor urut Absen No. 1 sd 2
3. Kelompok 2, nomor urut Absen No. 3 sd 4
4. Kelompok 3, nomor urut Absen 5 sd 6, ... dst. sampai dengan
5. Kelompok 7, nomor urut Absen 13 sd 14.
6. Pembagian SOAL:
1) Kelompok 1 mendapat PROBLEM 1
2) Kelompok 2 mendapat PROBLEM 2
3) Kelompok 3 mendapat PROBLEM 3
4) Kelompok 4 mendapat PROBLEM 4
5) Kelompok 5 mendapat PROBLEM 5
6) Kelompok 6 mendapat PROBLEM 6
7) Kelompok 7 mendapat PROBLEM 7

PETUNJUK JAWABAN:
1. Ditulis tangan menggunakan kertas bergaris atau kertas polos
atau diketik menggunakan Kertas A4.
2. Pada Lembar Jawaban di atas Tulis:
No_Urut_Absen_Assign4_ANVEK_Nama_NPM
Contoh: 14_Assgn1_SPM_ Farhan Rafiqi_1806195242
3. Setiap mahasiswa masing-masing menjawab setiap soal dari
kelompoknya, walaupun soalnya kelompok
4. Tidak diperkenankan copy paste
5. Jawaban disubmit pada EMAS sesuai dengan ketentuan pada
batas waktu yg telah diberikan di EMAS
 PROBLEM ASSIGNMENT5

PROBLEM 1:
Let ut be white noise. That is,
𝐸(𝑢𝑡 ) = 0 𝑓𝑜𝑟 𝑎𝑙𝑙 𝑡
𝐸(𝑢𝑡2 ) = 𝜎 2 𝑓𝑜𝑟 𝑎𝑙𝑙 𝑡
𝐸(𝑢𝑡 𝑢𝑠 ) = 0 𝑓𝑜𝑟 𝑎𝑙𝑙 𝑡 𝑎𝑛𝑑 𝑠 𝑤ℎ𝑒𝑟𝑒 𝑠 ≠ 0
For each of the following time series processes, determine the variance
of 𝑦𝑡 as a function of 𝜎 2 and of parameters appearing in the equations
below. Also derive the first and second-order autocovariances and
autocorrelations. Assume that the time series processes are stationary.
(a) 𝑦𝑡 = 𝛽𝑦𝑡−1 + 𝑢𝑡 is an AR(1) process)
(b) 𝑦𝑡 = 𝛽 + 𝜀𝑡 , where 𝜀𝑡 = 𝜌𝜀𝑡−1 + 𝑢𝑡 (𝜀𝑡 is an AR(1) process)
(c) 𝑦𝑡 = 𝑢𝑡 + 𝜃𝑢𝑡−1 (𝑦𝑡 is an MA(1) process)
(d) 𝑦𝑡 = 𝑢𝑡 + 0.6𝑢𝑡−1 + 0.2𝑢𝑡−2 + 0.1𝑢𝑡−3 (𝑦𝑡 is an MA(3) process)

PROBLEM 2:
An autoregressive distributed lag model is estimated as:
𝑦𝑡 = 31.2 + 0.61𝑦𝑡−1 + 0.19𝑦𝑡−2 + 1.40𝑥𝑡 + 0.58𝑥𝑡−1 + 𝑢𝑡
Consider the effect on y of a one-unit increase in x at time t* in the
following two cases:
(a) x remains one unit higher permanently after time t*.
(b) x immediately returns to its former level at time t* + 1.
Obtain the estimated effect on y in each of these cases at the four time
periods: t*, t*+1, t*+2, and the long run effect, t*+∞.
PROBLEM 3:
Consider a regression model with a constant term and three explanatory
variables, which include the lagged dependent variable 𝑦𝑡−1 and two other
variables, 𝑥1𝑡 and 𝑥2𝑡 . The estimated model is
𝑦𝑡 = 21.0 + 0.6𝑦𝑡−1 + 1.5𝑥1𝑡 + 0.75𝑥2𝑡 + 𝑒𝑡
a. Obtain the estimated effect on y of a permanent one-unit increase
in x1 at time t* (that is, x1 remains one unit higher permanently after
time t*) at the four time periods: t*; t*+1; t*+2; and the long run
effect, t*+∞.
b. Compare the size of the estimated effect on y of a permanent one-
unit increase in x1 to the size of the estimated effect on y of a
permanent one-unit increase in x2. Mention their initial (time t*)
effects and their long run effects. No algebra or calculations are
required.

PROBLEM 4:
For each of the following time series processes
a. 𝑦𝑡 = 𝜇 + 𝛽𝑦𝑡−1 + 𝑢𝑡
b. 𝑦𝑡 = 𝜇 + 𝑢𝑡 + 0.6𝑢𝑡−1 + 0.2𝑢𝑡−2
derive
1) the unconditional mean, 𝐸(𝑦𝑡 )
2) the unconditional variance, 𝑉𝑎𝑟(𝑦𝑡 )
3) the first-order autocovariance, 𝐶𝑜𝑣(𝑦𝑡 , 𝑦𝑡−1 ) = 𝐸(𝑦𝑡 − 𝐸(𝑦𝑡 ))(𝑦𝑡−1 −
𝐸(𝑦𝑡−1 ))
Assume: 𝐸(𝑢𝑡 ) = 0 for all t; 𝐸(𝑢𝑡2 ) = 𝜎 2 for all t; 𝐸(𝑢𝑡 𝑢𝑡−𝑠 ) = 0 for all t and
s where 𝑠 ≠ 0; and that the time series processes are stationary.
PROBLEM 5:
An autoregressive distributed lag model is estimated as
𝑦𝑡 = 11 + 0.7𝑦𝑡−1 − 0.4𝑦𝑡−2 + 9𝑥𝑡 + 2𝑥𝑡−1 + 𝑢𝑡
Consider the effect on y of a one-unit increase in x at time t* where x
remains one unit higher permanently after time t*. Obtain estimated effect
on y at t*; t*+1; t*+2; and the long run effect.

PROBLEM 6:
Consider a regression model with a constant term and three explanatory
variables, which include the lagged dependent variable yt�1 and two
other variables, x1t and x2t. The estimated model is
𝑦𝑡 = 2.1 + 0.8𝑦𝑡−1 − 2.0𝑥1𝑡 + 0.5𝑥2𝑡 + 𝑒𝑡
a. Obtain the estimated effect on y of a permanent one-unit increase
in x1 at time t* (that is, x1 remains one unit higher permanently after
time t*) at the four time periods: t*; t* + 1;t* + 2; and the long run
effect, t*+∞.
b. Compare the size of the estimated effect on y of a permanent one-
unit increase in x1 with the size of the estimated effect on y of a
permanent one-unit increase in x2. Mention their initial (time t*)
effects and their long run effects. No algebra or calculations are
required.

PROBLEM 7:
Suppose 𝜖𝑡 follows a stationary AR(1) process:
𝜖𝑡 = 𝜌𝜖𝑡−1 + 𝑢𝑡 , 𝑡 = 1, ⋯ , 𝑛
where 𝑢𝑡 is white noise. Let 𝜌 = 0.6 and 𝑉𝑎𝑟(𝑢𝑡 ) = 5.
a. What is the numerical value of the correlation between 𝜖𝑡 and 𝜖𝑡−3 .
b. What is the numerical value of 𝑉𝑎𝑟(𝜖𝑡 ).
c. Suppose that 𝐸(𝑢𝑡 ) = 10, instead of the usual zero-mean
assumption. What is the numerical value of 𝐸(𝜖𝑡 )?

----- Good Luck -----