TS Module 6: Stationary autoregressive processes HW


TS Module 6: Stationary autoregressive processes HW

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TS Module 6: Stationary autoregressive processes HW

 

(The attached PDF file has better formatting.)

 

Homework assignment: AR(2) process

 

An AR(2) process has ö1 = 0.2 or –0.2 and ö2 = ranging

 


           from 0.2 to 0.7 in steps of 0.1.

           from –0.2 to –0.9 in steps of –0.1.


 

 

Complete the table below, showing ñ1 and ñ2, the autocorrelations of lags 1 and 2. Use an Excel spreadsheet (or other software) and form the table by coding the cell formulas. Print the Excel spreadsheet and send it in as your homework assignment.

 

ö1

ö2

ñ1

ñ2

ö1

ö2

ñ1

ñ2

0.2

0.2

 

 

-0.2

0.2

 

 

0.2

0.3

 

 

-0.2

0.3

 

 

0.2

0.4

 

 

-0.2

0.4

 

 

0.2

0.5

 

 

-0.2

0.5

 

 

0.2

0.6

 

 

-0.2

0.6

 

 

0.2

0.7

 

 

-0.2

0.7

 

 

0.2

-0.2

 

 

-0.2

-0.2

 

 

0.2

-0.3

 

 

-0.2

-0.3

 

 

0.2

-0.4

 

 

-0.2

-0.4

 

 

0.2

-0.5

 

 

-0.2

-0.5

 

 

0.2

-0.6

 

 

-0.2

-0.6

 

 

0.2

-0.7

 

 

-0.2

-0.7

 

 

0.2

-0.8

 

 

-0.2

-0.8

 

 

0.2

-0.9

 

 

-0.2

-0.9

 

 

 


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nhanewinckel
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Quick Check. This HW seemed a little easier than many of the others, so I wanted to post two 'examples.' This way I can confirm that my process is right without "giving away" all the answers.

For Phi1 = .2, Phi2 = .4 (third row) I got rho1 = .33333 and rho2 = .46666667
For Phi1 = -.2, Phi2 = -.8 (second last row), I got rho1 = -.1111111 and rho2 = -.77777778

If anyone can confirm these values, I'll feel confident that the other 26 are also correct.
nhanewinckel
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Quick Check. This HW seemed a little easier than many of the others, so I wanted to post two 'examples.' This way I can confirm that my process is right without "giving away" all the answers.

For Phi1 = .2, Phi2 = .4 (third row) I got rho1 = .33333 and rho2 = .46666667
For Phi1 = -.2, Phi2 = -.8 (second last row), I got rho1 = -.1111111 and rho2 = -.77777778

If anyone can confirm these values, I'll feel confident that the other 26 are also correct.
yurky87
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                              nhanewinckel,

I agree with the solutions that you posted.

For Phi1 = .2, Phi2 = .4 (third row) I got rho1 = .33333 and rho2 = .46666667
For Phi1 = -.2, Phi2 = -.8 (second last row), I got rho1 = -.1111111 and rho2 = -.77777778
GO
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