4. (R not required) Suppose that the following MA(1) model is chosen as the final model Yǐ = 0.4 ...
1. [30 pts! Let Yǐ follow a moving average process of order 1 (ie, MA(1): where e is a white noise process with N(0,1). Suppose that you estimate the model using STATA. You obtain ê-1, ê-0.5 and ớ2-1. You also know e,-2 and E1-1-3. (a) Obtain the unconditional mean and variance of Y (b) Obtain Cor(Y, Yi-1). (c) Obtain the autocorrelation of order 1 for Y 1. [30 pts! Let Yǐ follow a moving average process of order 1 (ie,...
3. Suppose the following data has been obtained for the linear model Y -Bo+ yi 4 02-2 (a) Find the OLS estimators po and pi using the non-matrix method. (b) Find the OLS estimators using the matrix method. e coefficient of determination. (d) Find the standard error of 3. Suppose the following data has been obtained for the linear model Y -Bo+ yi 4 02-2 (a) Find the OLS estimators po and pi using the non-matrix method. (b) Find the...