Answered step by step
Verified Expert Solution
Link Copied!

Question

1 Approved Answer

Suppose a researcher wants to estimate the AR order for an autoregression of the unemployment rate (UR,). She estimates AR(p) models (p = 1, 2,..,

image text in transcribed
Suppose a researcher wants to estimate the AR order for an autoregression of the unemployment rate (UR,). She estimates AR(p) models (p = 1, 2,.., 5) over the sample period 1995:M1 - 2014:M12 for UR, and makes some calculations for each model that are summarized in the given table. SSR(p) denotes the sum of squared residuals of the estimated AR(p), and T denotes the number of observations. Complete the given table by finding the values of the Bayes information criterion (BIC) and the Akaike information criterion (AIC) for different values of p. AR order (p) 1 2 3 4 5 SSR(p) 9.4175 T 8.7538 8.7361 8.5816 8.7378 SSR(p) In T 2.2426 2. 1695 2.1675 2.1496 2.1677 InT (p + 1) J 0.0457 0.0685 0.0913 0.1142 0.137 (p + 1 )- 0.0167 0.025 0.0333 0.0417 0.05 BIC 2.2883 2.2380 2.2588 2.2638 2.3047 AIC 2.2593 2.1945 2.2008 2. 1913 2.2177 (Round your answers to four decimal places.) The BIC estimate of the lag length is The AIC estimate of the lag length is

Step by Step Solution

There are 3 Steps involved in it

Step: 1

blur-text-image

Get Instant Access to Expert-Tailored Solutions

See step-by-step solutions with expert insights and AI powered tools for academic success

Step: 2

blur-text-image

Step: 3

blur-text-image

Ace Your Homework with AI

Get the answers you need in no time with our AI-driven, step-by-step assistance

Get Started

Recommended Textbook for

WebAssign For Differential Equations With Boundary-Value Problems

Authors: Dennis G Zill

9th Edition

1337879762, 9781337879767

More Books

Students also viewed these Mathematics questions

Question

How does an applicant apply?

Answered: 1 week ago

Question

BR 1 3

Answered: 1 week ago

Question

6. How can a message directly influence the interpreter?

Answered: 1 week ago