ASSIGNMENT2 SP MULTIMEDIA REGULER

PETUNJUK SOAL:
1. Soal diberikan pada ASSIGNEMENT2 SPM di halaman berikut.
2. Nomor urut Absen No. 1 sd 3 kerjakan PROBLEM 1
3. Nomor urut Absen No. 4 sd 5 kerjakan PROBLEM 2
4. Nomor urut Absen No. 6 sd 7 kerjakan PROBLEM 3
5. Nomor urut Absen No. 8 sd 9 kerjakan PROBLEM 4
6. Nomor urut Absen No. 10 sd 11 kerjakan PROBLEM 5
7. Nomor urut Absen No. 12 sd 13 kerjakan PROBLEM 6
8. Nomor urut Absen No. 14 sd 16 kerjakan 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:
Contoh: Nomor-Absen_Assignment2_Nama_NPM
3. Tidak diperkenankan copy paste
4. Jawaban disubmit pada EMAS sesuai dengan ketentuan pada
batas waktu yg telah diberikan di EMAS

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

 PROBLEM ASSIGNMENT2

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 -----