11. Consider the following autocorrelation plot: 1.00 0.50 Autocorrelations of y 0.00 -0.50 0 20 Lag Bartlett's formula for MA(q) 95% confidence bands Autocorrelations 10 30 40 (a) Approximately, what is the estimated 20th order autocorrelation? Is it statistically significantly different from 0? (b) An AR(1) model is proposed to fit this data. Again approximately, what would be the estimated coefficient on the lagged value of y? (c) What kind of autocorrelation function must an AR(1) model produce?
11. Consider the following autocorrelation plot: 1.00 0.50 Autocorrelations of y 0.00 -0.50 0 20 Lag Bartlett's formula for MA(q) 95% confidence bands Autocorrelations 10 30 40 (a) Approximately, what is the estimated 20th order autocorrelation? Is it statistically significantly different from 0? (b) An AR(1) model is proposed to fit this data. Again approximately, what would be the estimated coefficient on the lagged value of y? (c) What kind of autocorrelation function must an AR(1) model produce?
MATLAB: An Introduction with Applications
6th Edition
ISBN:9781119256830
Author:Amos Gilat
Publisher:Amos Gilat
Chapter1: Starting With Matlab
Section: Chapter Questions
Problem 1P
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