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In this question you will consider ergodicity and time series averages. Consider the following MA (2) time series model: Y₁ = €t 0₁€t-1-0₂€t-2 (d) You are told that o² = 1, 0₁ = 0.2 and 0₂ -0.1 is the variance for the time series mean estimator less efficient or more efficient than the T = 20 sample size ensemble average i.i.d. case? Justify your answer with a relevant calculation and explanation using the formula in Equation (1) provided above in part (c) of this question. =

In this question you will consider ergodicity and time series averages. Consider the following MA (2) time series model: Y₁ = €t 0₁€t-1-0₂€t-2 (d) You are told that o² = 1, 0₁ = 0.2 and 0₂ -0.1 is the variance for the time series mean estimator less efficient or more efficient than the T = 20 sample size ensemble average i.i.d. case? Justify your answer with a relevant calculation and explanation using the formula in Equation (1) provided above in part (c) of this question. =

Calculus For The Life Sciences
Calculus For The Life Sciences
2nd Edition
ISBN:9780321964038
Author:GREENWELL, Raymond N., RITCHEY, Nathan P., Lial, Margaret L.
Publisher:GREENWELL, Raymond N., RITCHEY, Nathan P., Lial, Margaret L.
Chapter1: Functions
Section1.2: The Least Square Line
Problem 5E
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In this question you will consider ergodicity and time series averages. Consider the following MA (2) time series model: Y₁ = t -0₁ €t-1 - 0₂€t-2 (d) You are told that o² = 1, 0₁: = 0.2 and 0₂ -0.1 is the variance for the time series mean estimator less efficient or more efficient than the T 20 sample size ensemble average i.i.d. case? Justify your answer with a relevant calculation and explanation using the formula in Equation (1) provided above in part (c) of this question. = =
Transcribed Image Text:In this question you will consider ergodicity and time series averages. Consider the following MA (2) time series model: Y₁ = t -0₁ €t-1 - 0₂€t-2 (d) You are told that o² = 1, 0₁: = 0.2 and 0₂ -0.1 is the variance for the time series mean estimator less efficient or more efficient than the T 20 sample size ensemble average i.i.d. case? Justify your answer with a relevant calculation and explanation using the formula in Equation (1) provided above in part (c) of this question. = =
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