Econometrics (ISS Statistics Paper III): Questions 12  17 of 21
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Question number: 12
» Econometrics » Autoregressive Linear Regression
Appeared in Year: 2011
Describe in Detail
For the autoregressive scheme , show that if e is a random variable and the series is long, then
and hence show that, variance of the generated series may be much greater than that of e itself.
Explanation
Given autoregressive scheme is a second order Autoregressive series.
……………. . (i)… (695 more words) …
Question number: 13
» Econometrics » Ordinary Least Squares (OLS)
Appeared in Year: 2012
Describe in Detail
Discuss the practical consequences of autocorrelation. Show that
Explanation
Practical consequences of autocorrelation:

OLS estimators are still unbiased and consistent.

The variance of the estimators are underestimated. In the presence of autocorrelation , but… (539 more words) …
Question number: 14
» Econometrics » Ordinary Least Squares (OLS)
Appeared in Year: 2012
Write in Short
If the demand curve is of the form , where p is the price and x is the demand, prove that the elasticity of demand is · Hence deduce the elasticity of demand for
Question number: 15
» Econometrics » Prediction and Simultaneous Confidence Intervals
Appeared in Year: 2012
Write in Short
Discuss forecasting accuracy and Theil’s U coefficient.
Question number: 16
» Econometrics » Autoregressive Linear Regression
Appeared in Year: 2012
Write in Short
Obtain the general solution of firstorder autoregression model.
Question number: 17
» Econometrics » Autoregressive Linear Regression
Appeared in Year: 2013
Describe in Detail
Obtain the complementary function and particular integral of first order regressive model. Show that is a moving average of random elements with weights,
Explanation
Let us consider the first order auto regressive model
……. . (i)
this is a linear difference equation of order 1. its complementary function (C. F. ) is the so; ution of
… (345 more words) …