Econometrics (ISS (Statistical Services) Statistics Paper III): Questions 12 - 18 of 21

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Question number: 12

» Econometrics » Autoregressive Linear Regression

Appeared in Year: 2011

Essay Question▾

Describe in Detail

For the auto-regressive scheme Equation , show that if e is a random variable and the series is long, then

Equation

and hence show that, variance of the generated series may be much greater than that of e itself.

Explanation

Given auto-regressive scheme Equation is a second order Auto-regressive series.

Equation ……………. . (i)

Since the series is long and Equation, we have

Equation and VarEquation

Squaring both sides of (i) and taking the expectations, we get

Equation

Equation

Equation…………. . (i)

Multiplying both sides… (66 more words) …

Question number: 13

» Econometrics » Ordinary Least Squares (OLS)

Appeared in Year: 2012

Essay Question▾

Describe in Detail

Discuss the practical consequences of autocorrelation. Show that

Equation

Explanation

Practical consequences of autocorrelation:

  1. OLS estimators are still unbiased and consistent. Equation

  2. The variance of the estimators are underestimated. In the presence of autocorrelation Equation, but Equation Thus, variance of Equation may be either over estimated or under estimated depending upon the nature of the correlation.

  3. Prediction will be… (175 more words) …

Question number: 14

» Econometrics » Ordinary Least Squares (OLS)

Appeared in Year: 2012

Short Answer Question▾

Write in Short

If the demand curve is of the form Equation , where p is the price and x is the demand, prove that the elasticity of demand is Equation · Hence deduce the elasticity of demand for Equation

Question number: 15

» Econometrics » Prediction and Simultaneous Confidence Intervals

Appeared in Year: 2012

Short Answer Question▾

Write in Short

Discuss forecasting accuracy and Theil’s U coefficient.

Question number: 16

» Econometrics » Autoregressive Linear Regression

Appeared in Year: 2012

Short Answer Question▾

Write in Short

Obtain the general solution of first-order auto-regression model.

Question number: 17

» Econometrics » Autoregressive Linear Regression

Appeared in Year: 2013

Essay Question▾

Describe in Detail

Obtain the complementary function and particular integral of first order regressive model. Show that Equation is a moving average of random elements with weights, Equation

Explanation

Let us consider the first order auto regressive model

Equation ……. . (i)

this is a linear difference equation of order 1. its complementary function (C. F. ) is the so; ution of

Equation

which is a homogeneous linear difference equation of order 1.

if Equation is the trial solution,… (117 more words) …

Question number: 18

» Econometrics » Ordinary Least Squares (OLS)

Appeared in Year: 2012

Short Answer Question▾

Write in Short

Let the demand function be expressed as Equation . For what value of X, the elasticity of demand will be unitary?

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