Question: Q 3 . ( 2 0 marks ) a . Assume you decide to fit the following model: y _ ( t ) = y

Q3.(20 marks) a. Assume you decide to fit the following model: y_(t)=y_(t-1)+\phi _(1)(y_(t-1)-y_(t-2))+\phi _(2)(y_(t-2)-y_(t-3))+\phi _(3)(y_(t-3)-y_(t-4))+e_(t), where e_(t) is a white noise series. What sort of ARIMA model is this (i.e., what are p , d , and q )? b. Assume you decide to fit the following model: y_(t)=\phi _(1)y_(t-1)+y_(t-4)-\phi _(1)y_(t-5)+c+epsi lon_(t)+\theta _(1)epsi lon_(t-4) Where e_(t) is a white noise series. What sort of ARIMA model is this (Hint: this is a seasonal ARIMA with m=4?

Step by Step Solution

There are 3 Steps involved in it

1 Expert Approved Answer
Step: 1 Unlock blur-text-image
Question Has Been Solved by an Expert!

Get step-by-step solutions from verified subject matter experts

Step: 2 Unlock
Step: 3 Unlock

Students Have Also Explored These Related General Management Questions!