Consider the R output listed below. With this information, answer the following: model.fit=arima(data, order=c(1,0,0),method="ML") model.fit Coefficients: arl intercept 0.4796 179.4921 0.0565 0.4268 sigma2 estimated as 6.495: log likelihood = -126.24, aic= 296.48 s.e. What is the common name for this model? Write down this model. (Write theoretically and also the estimated time series regression from the output). What estimation method is used to estimate this model? Test the null that this series is mean zero (write down the null and alternative hypothesis, test statistic, and decision rule). .Test the null that this series is only a function of white noise sequences (write down the null and alternative hypothesis, test statistic, and decision rule). Suppose we believed these estimates to be the true parameters, draw the autocorrelation function.
Consider the R output listed below. With this information, answer the following: model.fit=arima(data, order=c(1,0,0),method="ML") model.fit Coefficients: arl intercept 0.4796 179.4921 0.0565 0.4268 sigma2 estimated as 6.495: log likelihood = -126.24, aic= 296.48 s.e. What is the common name for this model? Write down this model. (Write theoretically and also the estimated time series regression from the output). What estimation method is used to estimate this model? Test the null that this series is mean zero (write down the null and alternative hypothesis, test statistic, and decision rule). .Test the null that this series is only a function of white noise sequences (write down the null and alternative hypothesis, test statistic, and decision rule). Suppose we believed these estimates to be the true parameters, draw the autocorrelation function.
Chapter1: Making Economics Decisions
Section: Chapter Questions
Problem 1QTC
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Q3
Transcribed Image Text:3.
Consider the R output listed below. With this information, answer the following:
model.fit=arima(data, order=c(1,0,0), method="ML')
model.fit
Coefficients:
arl
intercept
0.4796
179.4921
s.e.
0.0565
0.4268
sigma2 estimated as 6.495: log likelihood= -126.24, aic = 296.48
a. What is the common name for this model? Write down this model. (Write theoretically and
also the estimated time series regression from the output).
What estimation method is used to estimate this model?
b.
c. Test the null that this series is mean zero (write down the null and alternative hypothesis, test
statistic, and decision rule).
d.
Test the null that this series is only a function of white noise sequences (write down the null
and alternative hypothesis, test statistic, and decision rule).
e.
Suppose we believed these estimates to be the true parameters, draw the autocorrelation
function.
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