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

Essay Question▾

Describe in Detail

For the auto-regressive scheme Ut+2+aUt+1+bUt=et+2 , show that if e is a random variable and the series is long, then

Var(U)Var(e)=(1+b)(1b)[(1+b)2a2]

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

Explanation

Given auto-regressive scheme Ut+2+aUt+1+bUt=et+2 is a second order Auto-regressive series.

Ut+2+aUt+1+bUt=et+2 ……………. . (i)… (695 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

V(Ut)=σ21σ2

Explanation

Practical consequences of autocorrelation:

  1. OLS estimators are still unbiased and consistent. E(β^1)=β1

  2. The variance of the estimators are underestimated. In the presence of autocorrelation Var(β^1)σu2xi2, but… (539 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 p=αekx , where p is the price and x is the demand, prove that the elasticity of demand is 1kx · Hence deduce the elasticity of demand for p=10ex2

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 Ut is a moving average of random elements with weights, 1,a,a2,at1

Explanation

Let us consider the first order auto regressive model

Ut+1=aUt+εt+1 ……. . (i)

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

Ut+1=… (345 more words) …

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