6.21 Simulate an MA(1) time series with n= 60 and with = 0.5. (a) Calculate the theoretical autocorrelation at lag 1 for

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6 21 Simulate An Ma 1 Time Series With N 60 And With 0 5 A Calculate The Theoretical Autocorrelation At Lag 1 For 1 (32.31 KiB) Viewed 106 times

6.21 Simulate an MA(1) time series with n= 60 and with = 0.5. (a) Calculate the theoretical autocorrelation at lag 1 for this model. (b) Calculate the sample autocorrelation at lag 1, and compare the value with its theoretical value. Use Exhibit 6.2 on page 112, to quantify the comparisons. (c) Repeat part (b) with a new simulation. Describe how the precision of the esti- mate varies with different samples selected under identical conditions. (d) If software permits, repeat the simulation of the series and calculation of many times and form the sampling distribution of . Describe how the preci- sion of the estimate varies with different samples selected under identical con- ditions. How well does the large-sample variance given in Exhibit 6.2 on page 112. approximate the variance in your sampling distribution? >