Consider the time series data for the real consumption of households and government from year 1950 to year 2019. Five autoregressive m estimated as follows, where the t statistics for the corresponding estimated coefficients are in the parentheses, and the size of the samples also shown in the table. According to the AIC approach, is the optimal, and according to the BIC approach,_ is the optimal. AR(1) AR(2) AR(3) AR(4) AR(5) intercept 5854.66 5041.07 5365.55 5689.50 7681.51 (2.44) (2.05) (2.13) (2.13) (2.82) t stat 0.82 0.92 0.92 0.92 0.92 rcon;-1 t stat (315.53) (9.49) (9.41) (9.33) (9.57) -0.18 -0.28 -0.27 -0.26 rcon;-2 t stat (-1.38) (-1.38) (-1.31) (-1.32) rcon-3 0.08 0.02 0.07 t stat (0.64) (0.09) (0.32)
Consider the time series data for the real consumption of households and government from year 1950 to year 2019. Five autoregressive m estimated as follows, where the t statistics for the corresponding estimated coefficients are in the parentheses, and the size of the samples also shown in the table. According to the AIC approach, is the optimal, and according to the BIC approach,_ is the optimal. AR(1) AR(2) AR(3) AR(4) AR(5) intercept 5854.66 5041.07 5365.55 5689.50 7681.51 (2.44) (2.05) (2.13) (2.13) (2.82) t stat 0.82 0.92 0.92 0.92 0.92 rcon;-1 t stat (315.53) (9.49) (9.41) (9.33) (9.57) -0.18 -0.28 -0.27 -0.26 rcon;-2 t stat (-1.38) (-1.38) (-1.31) (-1.32) rcon-3 0.08 0.02 0.07 t stat (0.64) (0.09) (0.32)
MATLAB: An Introduction with Applications
6th Edition
ISBN:9781119256830
Author:Amos Gilat
Publisher:Amos Gilat
Chapter1: Starting With Matlab
Section: Chapter Questions
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Transcribed Image Text:Consider the time series data for the real consumption of households and government from year 1950 to year 2019. Five autoregressive models, AR(1) to AR(5), are
estimated as follows, where the t statistics for the corresponding estimated coefficients are in the parentheses, and the size of the samples, n, used for each estimation is
also shown in the table.
According to the AIC approach,
is the optimal, and according to the BIC approach,_ is the optimal.
AR(1)
AR(2)
AR(3)
AR(4)
AR(5)
intercept
5854.66
5041.07
5365.55
5689.50
7681.51
t stat
(2.44)
(2.05)
(2.13)
(2.13)
(2.82)
rcon-1
0.82
0.92
0.92
0.92
0.92
t stat
(315.53)
(9.49)
(9.41)
(9.33)
(9.57)
rcont-2
-0.18
-0.28
-0.27
-0.26
t stat
(-1.38)
(-1.38)
(-1.31)
(-1.32)
rcont-3
0.08
0.02
0.07
t stat
(0.64)
(0.09)
(0.32)
rcont-4
0.06
-0.32
t stat
(0.38)
(-1.47)
rconţ-5
0.34
t stat
(2.32)
65
65
65
65
65
AIC
18.30
18.30
18.33
18.36
18.29
BIC
18.37
18.40
18.46
18.52
18.50
O A. AR(4); AR(1).
O B. AR(4); AR(4).
O C. AR(5); AR(1).
O D. AR(5); AR(4).
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