Problem 6An annual time-series regression model was fit to data collected for 30 years. After studyingand analyzing the results, the error terms were found to be first-order autocorrelated, and theindependent variable is lagged, i.e., the value of x in year t-1 also affects the value of y in year t.So, the following pair of models was studied:y₁= Bo + B₁ x² + B₂ x₁-1 + ß3 t + & and & = $ £ 1-1 + a, where the a, are i.i.d. N(0,0²) for each t, t =1,...,30. By using the 30 data points and applying the approximate method, the followingestimates of the coefficients are obtained:ßo= 10, B₁= 3.2, ₂= 1.1, ß3= 1.5, ô= 0.74. Use thefitted model to forecast the value of y in year t = 31, given that y30= 85, x29= 8.5, X30 = 4.75, and*31 = 6.9.

Answered: An annual time-series regression model…

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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