Answered step by step
Verified Expert Solution
Question
1 Approved Answer
= 6.1 An input and output time series consists of 300 observations. The prewhitened input series is well modeled by an AR(2) model y, 0.5y-1
= 6.1 An input and output time series consists of 300 observations. The prewhitened input series is well modeled by an AR(2) model y, 0.5y-1 +0.2y-2 + a,. We have estimated = 0.2 and p = 0.4. The estimated cross-correlation function between the prewhitened input and output time series is shown below. 1 6 9 Lag, j 0 2 3 4 5 7 8 10 rab(i) 0.01 0.03 -0.03 -0.25 -0.35 -0.51 -0.30 -0.15 -0.02 0.09 -0.01 a. Find the approximate standard error of the cross-correlation func- tion. Which spikes on the cross-correlation function appear to be significant? b. Estimate the impulse response function. Tentatively identify the form of the transfer function model
Step by Step Solution
There are 3 Steps involved in it
Step: 1
Get Instant Access to Expert-Tailored Solutions
See step-by-step solutions with expert insights and AI powered tools for academic success
Step: 2
Step: 3
Ace Your Homework with AI
Get the answers you need in no time with our AI-driven, step-by-step assistance
Get Started