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Econometrics Assignment Help:
Task:
This lab exercise is the second part of your individual assignment. Three lab exercises will be collected and marked. The total of the three marks contributes 20% to the final grade for the subject. The assignment must be submitted by
midnight on Sunday 14 May 2017. Late assignments will be penalized 10% for each day late.
Answers to question 1 can be hand written and scanned into the assignment section of UTSOnline. Answers to question 2 can be put in a word document, pasting results tables from Eviews when you need to. Please write your name and student number on your assignment. Name your assignment document with your student number 1234567.doc and name your Eviews workfile 1234567.wfl and submit electronic copies of both to UTSOnline via the assignment section in the Assessment area.
Question 1:
Consider the MA(2) model:
where and ). Calculate
(a) where is all information up to and including time T.
(b) Derive an expression for a two-standard error confidence band around the forecast of for i=1,2,3,4. ie .Your answer to (a) gives the forecast and your answer to (b) gives you the standard error of your forecast.
Question 2:
Testing for significance in AC and PAC
Open an Eviews workfile for 1044 daily price observations on three bank stocks from BANKS_DAILY.xls, CBA, AMP and MBL. Compute the simple RETURNS to each of the series.
Reset the sample to 2-101.
1. Recall that we can construct an approximate 95% confidence interval for the ACF and PACF using . An individual AC or PAC coefficient is irrelevant within the confidence interval.
2. To test a block of autocorrelations we can use the Ljung-Box Q statistic:
which is distributed with k degrees of freedom.
(a) Open the series for the simple return to CBA, AMP or MBL and using the ‘View’ menu, generate the correlogram and test the first three AC and PAC values for significance, individually and in a block of three, using the Eviews output to help you. State the null hypotheses and conclusions in all cases.
(b) Open the series for the returns to one other bank returns series and do the same as for (a).
(c) Comment on the autocorrelation structure of both of these series. Are they long or short memory processes? Are either of the returns series likely to be forecastable?
(d) Based on the ACF and PACF what time of model would you recommend for both series? Estimate this model and comment on it.
Uploaded By : jack
Posted on : February 14th, 2018
Downloads : 0
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