Econometrics informatics Assignments | Essay Help Services

Consider the following process:
​;​−∞ < t < ∞;​|φ| < 1, |θ| < 1​

where t satisfies the following assumptions:

Don't use plagiarized sources. Get Your Custom Essay on
Econometrics informatics Assignments | Essay Help Services
Just from $13/Page
Order Essay

​) = 0;​∀t

​) = 0;​∀s 6= 0

a) Using the Wold Decomposition Theorem, the process of (3) can be expressed as an MA(∞):
​;​with​− ψ0 = 1​

as (3) has no deterministic components. Derive the expressions for parameters ψi’s in terms of φ and θ.
b) Given the invertibility condition of |θ| < 1, this process can also be represented as an AR(∞):
Derive the expressions for parameters πi’s in terms of φ and θ.

c) Derive γ0 and γ1, the unconditional variance of yt and its first-order autocovariance respectively, in terms of the unknown parameters of the process of (3).

4. Consider the following process:
​;​−∞ < t < ∞​(6)

where c is a constant, and t is normally distributed with the following assumptions:

​) = 0;​∀t

​) = 0;​∀s 6= 0

Assume that the process of (6) is stationary. Suppose we have drawn a sample of T consecutive observations, (y1, y2,··· ,yT), from the process of (6).

Let ˜c, φ˜1, φ˜2, and ˜σ2 denote the conditional maximum likelihood estimators of c, φ1, φ2, and σ2 respectively. Let ˆc, φˆ1, φˆ2, and ˆσ2 denote the least squares (OLS) estimators of c, φ1, φ2, and σ2 respectively. Derive ˜σ2. Demonstrate:

c˜= cˆ φ˜1 = φˆ1 φ˜2 = φˆ2 σ˜2 6= σˆ2
5. Consider the following process:
​;​−∞ < t < ∞;​|θ| < 1​(7)

where t is normally distributed with the following assumptions:

​) = 0;​∀t

​) = 0;​∀s 6= 0

a) Assume |φ| 1. Show that the process of (7) can be expressed as:

​Does the expression of (9) have any practical purpose? Explain your answer.​

Suppose T consecutive observations (y1, y2,··· ,yT) were drawn from the process of (7). Derive the log likelihood function for the exact maximum likelihood estimation of the unknown parameters of (7).​

[Hint: for parts a) and b), write the process of (7) using the lag operator. Notice that if |φ| > 1, |φ−1| < 1. Then, the formula of the geometric sum to infinity can still be used. For part c), use the results obtained in Q3, part c).]

Acme Writers
Calculate your paper price
Pages (550 words)
Approximate price: -

Why Work with Us

Top Quality and Well-Researched Papers

We always make sure that writers follow all your instructions precisely. You can choose your academic level: high school, college/university or professional, and we will assign a writer who has a respective degree.

Professional and Experienced Academic Writers

We have a team of professional writers with experience in academic and business writing. Many are native speakers and able to perform any task for which you need help.

Free Unlimited Revisions

If you think we missed something, send your order for a free revision. You have 10 days to submit the order for review after you have received the final document. You can do this yourself after logging into your personal account or by contacting our support.

Prompt Delivery and 100% Money-Back-Guarantee

All papers are always delivered on time. In case we need more time to master your paper, we may contact you regarding the deadline extension. In case you cannot provide us with more time, a 100% refund is guaranteed.

Original & Confidential

We use several writing tools checks to ensure that all documents you receive are free from plagiarism. Our editors carefully review all quotations in the text. We also promise maximum confidentiality in all of our services.

24/7 Customer Support

Our support agents are available 24 hours a day 7 days a week and committed to providing you with the best customer experience. Get in touch whenever you need any assistance.

Try it now!

Calculate the price of your order

Total price:

How it works?

Follow these simple steps to get your paper done

Place your order

Fill in the order form and provide all details of your assignment.

Proceed with the payment

Choose the payment system that suits you most.

Receive the final file

Once your paper is ready, we will email it to you.

Our Services

No need to work on your paper at night. Sleep tight, we will cover your back. We offer all kinds of writing services.


Essay Writing Service

No matter what kind of academic paper you need and how urgent you need it, you are welcome to choose your academic level and the type of your paper at an affordable price. We take care of all your paper needs and give a 24/7 customer care support system.


Admission Essays & Business Writing Help

An admission essay is an essay or other written statement by a candidate, often a potential student enrolling in a college, university, or graduate school. You can be rest assurred that through our service we will write the best admission essay for you.


Editing Support

Our academic writers and editors make the necessary changes to your paper so that it is polished. We also format your document by correctly quoting the sources and creating reference lists in the formats APA, Harvard, MLA, Chicago / Turabian.


Revision Support

If you think your paper could be improved, you can request a review. In this case, your paper will be checked by the writer or assigned to an editor. You can use this option as many times as you see fit. This is free because we want you to be completely satisfied with the service offered.