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It is often claimed that "di?erencing" the regression model will reduce the degree of autocorrelation. Considerthis claim by using as the model:
yt = xt + ut and ut = ut1 + t
where (t) is white noise with mean zero and variance 2, and || 1. We want to compare the autocorrelation of (ut ) in thismodel with the
autocorrelation of (vt) in the following di?erenced model:
yt yt1 = (xt xt1 ) + vt
where vt = ut ut1. Answer the following:
(a) Show that the autocorrelation of ut, call it u(k), in the original model is k .
(b) Find the autocorrelation of vt at the first lag, i.e., v (1), in the differenced model.
(c) Evaluatethe claim by comparing u(1) and v (1) over the range of f.
Between 2009 and 2010, the poverty rate increased for non-Hispanic Whites (from 9.4 percent to 9.9 percent), for Blacks (from 25.8 percent to 27.4 percent), and for Hispanics (from 25.3 percent to 26.6 percent). For Asians, the 2010 poverty rate (..
At the end of each year, a worker invests $2,000 into an account the draws 4% interest. The worker makes every payment for the next 30 years except for the payment at the end of year 10. That is, no money is invested at the end of year 10. How muc..
In a large city it was found that summer electricity bills for single-family home followed a normal distribution with standard deviation $100. A random sample of 25 bills was taken. a. Find the probability that the sample standard deviation is less..
Suppose that there are two countries, X and Y, that differ in both their rates of investment and their population growth rates. In country X, investment is 20% of GDP, and the population grows at 0% per year. In country Y, investment is 5% of GDP,..
Say that investment increases by 100 for each interest rate drop of 1 percent. Say also that the expenditures multiplier is 3. If the money multiplier is 5, and each 5-unit change in the money supply changes the interest rate by 1 percent, what op..
Identify whether the variables in your model suffer from non-stationarity. Discuss the possible implication of non-stationarity for your model and how this problem could be addressed.
Calculate the overall rate of interest the couple will pay using this arrangement. If you answer using a percent, please include a minimum of two significant digits in your answer. If you answer using a decimal, please include a minimum of four ..
Consider the following data set on the price and quantity of various commodities for 2008 and 2013. Calculate the GDP deflator. What are the values for the Laspeyres and Paasche indices? Is any of the price indices clearly better?
The price elasticity of demand for heroin is .27. Suppose that half of the existing heroin users support their habits with property crime. Further, the loss from property crimes committed by heroin users equals half of the total spending (total r..
Value Lodges owns an economy motel chain and is considering building a new 200-unit model. The cost to build is estimated at $8,000,000; estimates for motel furnishings will cost an additional $700,000 and will require replacement every 5 years. A..
Suppose the NPV for the 20-year ring levee is $3 million and the NPV for the 60-year floodwall is $5 million, both discounted at 5%. Calculate the EANB for each project. Then, use the replication method to determine which project should be adopted..
Advertising can inform purchaser, but sellers must incur expenses to advertise. If so, advertising can result in higher prices to customers.
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