(a) Identify each of the models below as a specific ARIMA model. That is, what are p, d, and q, and what are the values

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A Identify Each Of The Models Below As A Specific Arima Model That Is What Are P D And Q And What Are The Values 1 (45.71 KiB) Viewed 27 times

(a) Identify each of the models below as a specific ARIMA model. That is, what are p, d, and q, and what are the values of the parameters o's and 0's? (i) Y = 0.6Y-1 +0.2Ÿt-2 + €₁. (ii) Y₁ = Yt-1+ e - 0.8-1. (iii) Y₁ = 0.4Y₁-1 -0.3Yt-2 +0.6e+ - 0.5et-1. (iv) (1 − B)²Y₁ = (1 – 0.6B)et. - - (v) Yt = 15 + 2Yƒ–1 — 1.3Yt−2 +0.3Yt-3 + et − 0.3et−1 +0.6et-2 - (2 marks each = 10 marks) (b) Describe the important characteristics of the partial autocorrelation function (PACF) for the following models: (i) MA(2), (ii) IMA(2,1), (iii) AR(2), (iv) ARI(1,2), and (v) ARIMA(1,1,2). (5 marks) (c) Write down the mathematical expression representing each of the models for (i) to (v) in (b) above.