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Filippo Patrignani


Last seen: presque 3 ans il y a |  Actif depuis 2021

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Question


How to generate M sets of a time serie?
I have to solve this exercise: Simulate data from the following model yt = α1yt−1 + α2yt−2 + εt, use α1 = 0.7 and α2 = 0.3 and f...

presque 3 ans il y a | 1 réponse | 0

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Question


Estimate an AR(1) model with intercept for time series yt using the LS method
Hi, I have to estimate an AR(1) model for yt (annualized quarter growth rate of RPI) using LS method and report the parameter es...

presque 3 ans il y a | 1 réponse | 0

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Question


How can I demonstrate that a MA(2) process is invertible?
I have to solve this exercise: Consider the following MA(2) process yt = 1 − 0.5εt−1 + 0.3εt−2 + εt . Is the moving average proc...

presque 3 ans il y a | 1 réponse | 0

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