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c. Consider the following change in the time series model: Yt = P1Yt-1+ Ut Where ut follows a white noise process. What is the condition we need to impose on p1 in order for the series yt to be weakly stationary? Why? d. Consider the following change in the time series model: Yt = Bo + B1xt-1+ B2xt-2 + U; Where Ytis some outcome variable of interest, and Xt-1and Xt-2 are strictly exogenous explanatory variables. How would you test for the presence of serial correlation in the residual ? e. Briefly explain how you would carry out econometric analysis of the model in (d) if ":is found to be stationary, but positively serially correlated.

c. Consider the following change in the time series model: Yt = P1Yt-1+ Ut Where ut follows a white noise process. What is the condition we need to impose on p1 in order for the series yt to be weakly stationary? Why? d. Consider the following change in the time series model: Yt = Bo + B1xt-1+ B2xt-2 + U; Where Ytis some outcome variable of interest, and Xt-1and Xt-2 are strictly exogenous explanatory variables. How would you test for the presence of serial correlation in the residual ? e. Briefly explain how you would carry out econometric analysis of the model in (d) if ":is found to be stationary, but positively serially correlated.

Algebra & Trigonometry with Analytic Geometry
Algebra & Trigonometry with Analytic Geometry
13th Edition
ISBN:9781133382119
Author:Swokowski
Publisher:Swokowski
Chapter10: Sequences, Series, And Probability
Section10.2: Arithmetic Sequences
Problem 67E
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c. Consider the following change in the time series model: Yt = P1Yt-1+ Uz Where ut follows a white noise process. What is the condition we need to impose on p1 in order for the series yt to be weakly stationary? Why? d. Consider the following change in the time series model: Yt = Bo + B1xt-1 + B2Xt-2 + U; Where Ytis some outcome variable of interest, and Xt-1 and Xt-2 are strictly exogenous explanatory variables. How would you test for the presence of serial correlation in the residual ? e. Briefly explain how you would carry out econometric analysis of the model in (d) if U:is found to be stationary, but positively serially correlated.
Transcribed Image Text:c. Consider the following change in the time series model: Yt = P1Yt-1+ Uz Where ut follows a white noise process. What is the condition we need to impose on p1 in order for the series yt to be weakly stationary? Why? d. Consider the following change in the time series model: Yt = Bo + B1xt-1 + B2Xt-2 + U; Where Ytis some outcome variable of interest, and Xt-1 and Xt-2 are strictly exogenous explanatory variables. How would you test for the presence of serial correlation in the residual ? e. Briefly explain how you would carry out econometric analysis of the model in (d) if U:is found to be stationary, but positively serially correlated.
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