45-734 Probability and Statistics II
(4^{th} Mini AY 1997-98 Flex-Mode and Flex-Time)

Assignment #6: Due 30 April 1998

- In the file:
Assign6.wf1

you will find four time series of length 100. Estimate the time series model for each of these series. Submit your estimated model and the results of the IDENT command. Report your test of the null hypothesis that the estimated residuals in your model are white noise including a statement of the degrees of freedom for your test, the critical value of the relevant test statistic, and the calculated value of the relevant test statistic.

- The first series (Y1) was generated by a moving average process.

Estimate the process. - The second series (Y2) was generated by an autoregressive process.

Estimate the process. - The third series (Y3) was generated by an ARMA process.

Estimate the process. - The fourth series (Y4) was generated by an ARMA process.

Estimate the process.

- The first series (Y1) was generated by a moving average process.
- In the file:
Rwage.wf1

(courtesy of Professor Sowell) is the time series of real wages in the United States from 1900 to 1970. Estimate a time series model for this process (ARIMA). Use first differencing to obtain a stationary time series. Explain why you chose your model and turn in the relevant EVIEWS outputs. - In the file:
Money.wf1

(courtesy of Professor Sowell) is the time series of money stock in the United States from 1889 to 1970. Estimate a time series model for this process (ARIMA). Use first differencing of the logs to obtain a stationary time series. Explain why you chose your model and turn in the relevant EVIEWS outputs.