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AR(1) and MA(1) Model Tutorial

The document discusses time series models including the AR(1) model, covariance stationarity, using recursive substitution to write the AR(1) model in summation form, and deriving the mean and variance of the AR(1) process. It also asks to explain MA(1) and ARMA(1,1) models.

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Yc Ong
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53 views1 page

AR(1) and MA(1) Model Tutorial

The document discusses time series models including the AR(1) model, covariance stationarity, using recursive substitution to write the AR(1) model in summation form, and deriving the mean and variance of the AR(1) process. It also asks to explain MA(1) and ARMA(1,1) models.

Uploaded by

Yc Ong
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as DOCX, PDF, TXT or read online on Scribd
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Tutorial 2 Week 2

Write out the AR(1) model. Describe what you know about the first lag, beta1, beta 0
and the error term.

Define covariance stationary.

E ( yt )

an estimated value for dependent variable

yt

Is the mean

Given the AR(1) process as

Using recursive substitution, write the AR(1) equation in the summation form that is

yt 0 1 yt 1 ut

, show that

E ( yt ) 0 /(1 1 )

yt 1j et j
show that

Given

j 0

yt 0 1 yt 1 ut

Show that

Explain MA(1) and ARMA(1,1) models.

(1 1 L)( yt ) et

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