Consider an MA(1) model and suppose we have the observed values Y₁ = 0, Y₂ = −1, andY3 = 1/3. Find the conditional least squares estimator of 0 and the method of moments estimator of σ².

In an MA(1) model (moving average model of order 1), the value at time $ t $ is determined by the…

Answered: Consider an MA(1) model and suppose we…

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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Derive the least squares estimator of Bo for model Y₁ = P + Ei the re regression
The model, y = Bo + B₁×₁ + ß₂×2 + ε, was fitted to a sample of 33 families in order to explain household milk consumption in quarts per week, y, from the weekly income in hundreds of dollars, x₁, and the family size, x₂. The total sum of squares and regression sum of squares were found to be, SST = 162.1 and SSE(R) = 90.6. The least squares estimates of the regression parameters are bo = -0.022, b₁ = 0.051, and b₂ = 1.19. A third independent variable-number of preschool children in the household-was added to the regression model. The sum of squared errors when this augmented model was estimated by least squares was found to be 83.1. Test the null hypothesis that, all other things being equal, the number of preschool children in the household does not affect milk consumption. Use α=0.01. Click here to view page 1 of a table of critical values of F. Click here to view page 2 of a table of critical values of F. ''1' M P2 P3 Find the critical value. The critical value is 7.60⁰. (Round to…
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Students who complete their exams early certainly can intimidate the other students, but do the early finishers perform significantly differently than the other students? A random sample of 37 students was chosen before the most recent exam in Prof. J class, and for each student, both the score on the exam and the time it took the student to complete the exam were recorded. a. Find the least-squares regression equation relating time to complete (explanatory variable, denoted by x, in minutes) and exam score (response variable, denoted by y) by considering Sx = 15, sy = 17,r = 39.706, x = 90, ỹ = 78 b. The standard error of the slope of this least-squares regression line was approximately (Sp) is 20.13. Test for a significant positive linear relationship between the two variables exam score and exam completion time for students in Prof. J's class by doing a hypothesis test regarding the population slope B1. Write the null and Alternate hypothesis and conclude the results. (Assume that…
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The model, y = Bo + B₁×1 + ß₂×₂ + ε, was fitted to a sample of 33 families in order to explain household milk consumption in quarts per week, y, from the weekly income in hundreds of dollars, X₁, and the family size, x2. The total sum of squares and regression sum of squares were found to be, SST = 162.1 and SSE(R) = 90.6. The least squares estimates of the regression parameters are bo = -0.022, b₁ = 0.051, and b₂ = 1.19. A third independent variable number of preschool children in the household-was added to the regression model. The sum of squared errors when this augmented model was estimated by least squares was found to be 83.1. Test the null hypothesis that, all other things being equal, the number of preschool children in the household does not affect milk consumption. Use α = 0.01. Click here to view page 1 of a table of critical values of F. Click here to view page 2 of a table of critical values of F. Choose the correct null and alternative hypotheses below. A. Ho: B3 = 0 |…
2
)A county real estate appraiser wants to develop a statistical model to predict the appraised value of 3) houses in a section of the county called East Meadow. One of the many variables thought to be an important predictor of appraised value is the number of rooms in the house. Consequently, the appraiser decided to fit the simple linear regression model: E(u) = Bo + Bix, where y = appraised value of the house (in thousands of dollars) and x = number of rooms. Using data collected for a sample of n = 73 houses in Fast Meadow, the following results were obtained: y = 73.80 + 19.72x What are the properties of the least squares line, y = 73.80 + 19.72x? A) Average error of prediction is 0, and SSE is minimum. B) It will always be a statistically useful predictor of y. C) It is normal, mean 0, constant variance, and independent. D) All 73 of the sample y-values fall on the line.

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Consider an MA(1) model and suppose we have the observed values Y₁ = 0, Y₂ = −1, and Y3 = 1/3. Find the conditional least squares estimator of 0 and the method of moments estimator of σ².